Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series - Couverture souple

Harvey, Andrew C. C.

 
9781107630024: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series
Couverture souple
ISBN 10 : 1107630029 ISBN 13 : 9781107630024
Editeur : Cambridge University Press, 2013

Synopsis

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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À propos de l?auteur

Andrew Harvey is Professor of Econometrics at the University of Cambridge and a Fellow of Corpus Christi College. He is a Fellow of the Econometric Society and of the British Academy. He has published more than one hundred articles in journals and edited volumes and is the author of three books, The Econometric Analysis of Time Series, Time Series Models, and Forecasting and Structural Time Series Models and the Kalman Filter (Cambridge University Press, 1989). He is one of the developers of the STAMP computer package.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2013
Langue
anglais
ISBN 10 
1107630029
ISBN 13 
9781107630024
Reliure
Broché
Nombre de pages
282
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France

Autres éditions populaires du même titre

9781107034723: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series

Edition présentée

ISBN 10 :  1107034728 ISBN 13 :  9781107034723
Editeur : Cambridge University Press, 2013
Couverture rigide