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Journal of the American Statistical Association Volume 109, 2014 - Issue 507
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Theory and Methods

Filtering With Heavy Tails

Andrew Harvey
&
Alessandra Luati
Pages 1112-1122 | Received 01 Dec 2012, Published online: 02 Oct 2014

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Astrid Ayala & Szabolcs Blazsek. (2019) Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate. Applied Economics 51:37, pages 4083-4103.
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Anne Opschoor, Pawel Janus, André Lucas & Dick Van Dijk. (2018) New HEAVY Models for Fat-Tailed Realized Covariances and Returns. Journal of Business & Economic Statistics 36:4, pages 643-657.
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Francisco Blasques, André Lucas & Erkki Silde. (2018) A stochastic recurrence equations approach for score driven correlation models. Econometric Reviews 37:2, pages 166-181.
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