English, Article, Journal or magazine article edition: Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations Francisco Javier Mencía; Enrique Sentana

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Bookmark: http://trove.nla.gov.au/version/44831
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations
Author
  • Francisco Javier Mencía
  • Enrique Sentana
Physical Description
  • preprint
Notes
  • Inequality constraints, kurtosis, multivariate normality test, skewness, Student t, tail dependence.
  • RePEc:cmf:wpaper:wp2004_0411
  • We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the information matrix. In addition, we derive tests for the null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components, from which we obtain more powerful one-sided versions. Finally, we present an empirical illustration with UK sectorial stock returns, which suggests that their conditional distribution is asymmetric and leptokurtic.
  • RePEc:fmg:fmgdps:dp502
Language
  • English
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