EGARCH models with fat tails, skewness and leverage
نویسندگان
چکیده
An EGARCH model in which the conditional distribution is heavytailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better fit than the corresponding skewed-t GARCH model. Abstract
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 76 شماره
صفحات -
تاریخ انتشار 2014