Vector autoregression models with skewness and heavy tails

EGARCH models with fat tails, skewness and leverage

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 th...

Dynamic Models for Volatility and Heavy Tails

The aim of this monograph is to set out a uni…ed and comprehensive theory for a class of nonlinear time series models that can deal with distributions that change over time. The emphasis is models in which the conditional distribution of an observation may be heavy-tailed and the location and/or scale changes over time. The de…ning feature of these models is that the dynamics are driven by the ...

Lecture 6 : Vector Autoregression ∗

Inference with Multivariate Heavy-Tails in Linear Models

Heavy-tailed distributions naturally occur in many real life problems. Unfortunately, it is typically not possible to compute inference in closed-form in graphical models which involve such heavy-tailed distributions. In this work, we propose a novel simple linear graphical model for independent latent random variables, called linear characteristic model (LCM), defined in the characteristic fun...

Evaluating Structural Vector Autoregression Models in Monetary Economies

This paper uses Monte Carlo simulations to evaluate alternative identi…cation strategies in VAR estimation of monetary models, and to assess the accuracy of measuring money instability as a cause of output ‡uctuations. I construct theoretical monetary economies using general equilibrium models with cash-in-advance constraints, which also include technology shocks, labor supply shocks, and monet...