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econ.EM2024
Moments by Integrating the Moment-Generating Function
Peter Reinhard Hansen, Chen Tong
We introduce a general integral framework for computing fractional, complex, absolute, and logarithmic moments from the moment-generating function (MGF) under explicit regularity c…
econ.EM2024
Cluster GARCH
Chen Tong, Peter Reinhard Hansen, Ilya Archakov
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it…
econ.EM2024
Convolution-t Distributions
Peter Reinhard Hansen, Chen Tong
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distribut…