Dynamic Models for Volatility and Heavy Tails

Name: Dynamic Models for Volatility and Heavy Tails
Brand: Cambridge University Press
SKU: 9781107034723
Price: 136.75 EUR
Availability: InStock

With Applications to Financial and Economic Time Series

Автор: Andrew C Harvey

Език:

Корици: С твърди корици

Издател: Cambridge University Press

Наличност: Външен склад

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136.75 € 267.46 лв

The volatility of financial returns changes over time and, for the last thirty years, Generalized Au...

Информация за книгата

Автор

Andrew C Harvey

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2013

страници

282

EAN

9781107034723

ISBN

1107034728

Enbook ID

01338421

Издател

Cambridge University Press

Теглоt

590

Размери

152 x 229 x 19

Пълно описание

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails – that is, extreme values can occur from time to time – Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

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Dynamic Models for Volatility and Heavy Tails

With Applications to Financial and Economic Time Series

Информация за книгата

Пълно описание

Може също да ви хареса

Клиенти, които купиха тази книга, купиха също