Fat tails in leading indicators

被引：7
|
作者：
Kiss, Tamas [1 ]
Osterholm, Par [1 ,2 ]
机构：
[1] Orebro Univ, Sch Business, S-70182 Orebro, Sweden
[2] Natl Inst Econ Res, Stockholm, Sweden
来源：
ECONOMICS LETTERS | 2020年 / 193卷
关键词：
Non-Gaussianity; GARCH; COINCIDENT;
D O I：
10.1016/j.econlet.2020.109317
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyse four leading indicators in the US economy using autoregressive models and find strong evidence in favour of GARCH effects. All series remain fat-tailed after controlling for GARCH effects, suggesting that non-Gaussianity of the innovations should be accounted for. (C) 2020 The Authors. Published by Elsevier B.V.
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页数：6
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