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

Harvey, Andrew C. C.

ISBN 10: 1107630029 / ISBN 13: 9781107630024

Edité par Cambridge University Press, 2013

A propos de cet article

This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In fair condition, suitable as a study copy. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,500grams, ISBN:9781107630024.

N° de réf. du vendeur 4121629

Détails bibliographiques

• Titre: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series
• Éditeur: Cambridge University Press
• Date de parution: 2013
• Langue: anglais
• ISBN à 10 chiffres: 1107630029
• ISBN à 13 chiffres: 9781107630024
• Reliure: Couverture souple
• État de l'article: Fair
• Catalogues du vendeur:
  • Economics

A propos de ce titre

Synopsis

The book presents a statistical theory for a class of nonlinear time-series models. It will be of interest to econometricians and statisticians.

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.