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Dynamic Models for Volatility and Heavy Tails
- With Applications to Financial and Economic Time Series
part of the Econometric Society Monographs series
- Binding:
- Hardback
- Pages:
- 282
- Published:
- April 22, 2013
- Dimensions:
- 152x229x19 mm.
- Weight:
- 590 g.
Delivery:
2-3 weeks
Expected delivery: July 26, 2024
About Andrew C. (University of Cambridge) Harvey
View all books by Andrew C. (University of Cambridge) HarveyDescription of Dynamic Models for Volatility and Heavy Tails
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.
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