Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series - Econometric Society Monographs - Harvey, Andrew C. (University of Cambridge) - Books - Cambridge University Press - 9781107034723 - April 22, 2013
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Harvey, Andrew C. (University of Cambridge)
Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series - Econometric Society Monographs

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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.

278 pages, 43 b/w illus. 14 tables

Media Books     Hardcover Book   (Book with hard spine and cover)
Released April 22, 2013
ISBN13 9781107034723
Publishers Cambridge University Press
Pages 282
Dimensions 152 × 229 × 19 mm   ·   590 g
Language English  

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