Dynamic Models for Volatility and Heavy Tails

- With Applications to Financial and Economic Time Series (Series Number 52: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and)

af

indgår i serie Econometric Society Monographs


Dynamic Models for Volatility and Heavy Tails
Format:
Bog, hardback
Udgivelsesdato:
22-04-2013
Sprog:
Engelsk
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  • Yderligere info
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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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Udgivelsesdato:
22-04-2013
ISBN13:
9781107034723
Vægt:
590 g
Dybde:
19 mm
Bredde:
152 mm
Højde:
229 mm
Nummer i serien:
52
Nummer i serien:
52
Format:
Hardback
  • Forfattere

  • Bibliotekernes beskrivelse

    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 be of interest to econometricians and statisticians in a variety of disciplines. 14 Tables, unspecified; 43 Line drawings, unspecified

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Dynamic Models for Volatility and Heavy Tails

- With Applications to Financial and Economic Time Series (Series Number 52: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and)

af

indgår i serie Econometric Society Monographs

  • Leveringstid 2-3 uger
  • Forventet levering 09-10-2019

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