Fat tails in leading indicators

Tamas Kiss and Pär Österholm

Economics Letters, 2020, vol. 193, issue C

Abstract: 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.

Keywords: Non-Gaussianity; GARCH (search for similar items in EconPapers)
JEL-codes: C22 E32 E44 G10 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:193:y:2020:i:c:s016517652030210x

DOI: 10.1016/j.econlet.2020.109317

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