Dynamic Models for Volatility and Heavy Tails

• Harvey, A.C. and G. Sucarrat (2014) EGARCH models with fat tails, skewness and leverage. Computational Statistics and Data Analysis, 26, 320-338
• Andres, P. (2014) Maximum likelihood estimates for positive valued dynamic score models; The DySco Package. Annals of Computational and Financial Econometrics, 76, 34
• Harvey, A.C. and A. Luati. (2014) Filtering with Heavy Tails, Journal of the American Statistical Association, 109, 1112-11
• Caivano, M. and A.C. Harvey (2014) Time series models with an EGB2 conditional distribution. Journal of Time Series Analysis, 34, 558-71.
• Harvey, A.C. and S. Thiele (2016) Testing against changing correlation. Journal of Empirical Finance, 38, 575-89.
• Caivano, M., Harvey, A. C. and A. Luati (2016) Robust time series models with trend and seasonal components. SERIEs, special issue in honour of Agustin Maravall, 7, 99-120.
• Harvey, A.C. and R-J. Lange (2017). Volatility Modelling with a Generalized t-distribution, Journal of Time Series Analysis, 38, 175-90.
• Harvey, A.C. and R-J. Lange (2018). Modelling the Interactions between Volatility and Returns. Journal of Time Series Analysis, 39, 909-919.
• Harvey, A.C. and R. Ito (2018) Modeling time series when some observations are zero. Journal of Econometrics (to appear)
• Harvey, Andrew, and Yin Liao (2019). Dynamic Tobit models. Cambridge Working Paper Economics, CWPE-1913.

For a full list of DCS papers see the GAS/DCS website