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Dynamic models for volatility and heavy tails : with applications to financial and economic time series

Author: A C Harvey
Publisher: Cambridge ; New York : Cambridge University Press, 2013.
Series: Econometric Society monographs, no. 52.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
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  Read more...
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Document Type: Book
All Authors / Contributors: A C Harvey
ISBN: 9781107034723 1107034728 9781107630024 1107630029
OCLC Number: 811777444
Description: xviii, 261 pages : illustrations ; 24 cm.
Contents: Statistical distributions and asymptotic theory --
Location --
Scale --
Location/scale models for non-negative variables --
Multivariate models, correlation and association --
Conclusions and further directions --
A. Derivation of formulae in the information matrix --
B. Autocorrelation functions --
C. GED information matrix --
D. The order of GARCH models --
E. Computer programs.
Series Title: Econometric Society monographs, no. 52.
Responsibility: Andrew C. Harvey.

Abstract:

This book presents a statistical theory for a class of nonlinear time-series models. It has particular relevance for the modeling of volatility in financial time series but the overall approach will  Read more...

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'It offers a comprehensive view of DCS models and is self-contained in that it includes the necessary statistical theory for understanding and applying them. Empirical examples help the reader Read more...

 
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