Time‐series models with an EGB2 conditional distribution

DOI10.1111/JTSA.12081zbMath1311.62141OpenAlexW3125621880MaRDI QIDQ5176863

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Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/245429

zbMATH Keywords

scorerobustnessoutlierbeta distributionEGARCHWinsorizing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Related Items (8)

Skewness-Kurtosis Bounds for EGB1, EGB2, and Special Cases ⋮ Score-driven models for realized volatility ⋮ Stochastic properties of nonlinear locally-nonstationary filters ⋮ Maximum likelihood estimation for non-stationary location models with mixture of normal distributions ⋮ A comparison of the GB2 and skewed generalized log-t distributions with an application in finance ⋮ Time‐series models with an EGB2 conditional distribution ⋮ A robust Beveridge-Nelson decomposition using a score-driven approach with an application ⋮ Maximum likelihood estimation for score-driven models

Uses Software

• robustbase

Cites Work

• Properties and estimation of asymmetric exponential power distribution
• A generalized beta copula with applications in modeling multivariate long-tailed data
• A generalization of the beta distribution with applications
• EGARCH models with fat tails, skewness and leverage
• Dynamic Models for Volatility and Heavy Tails
• Discrimination among some parametric models
• Filtering With Heavy Tails
• Time‐series models with an EGB2 conditional distribution
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Robust Statistics

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