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Dynamic Models for Volatility and Heavy Tails - Andrew C. (University of Cambridge) Harvey - Bog

- With Applications to Financial and Economic Time Series

af Andrew C. (University of Cambridge) Harvey

indgår i Econometric Society Monographs serien

Dynamic Models for Volatility and Heavy Tails af Andrew C. (University of Cambridge) Harvey
Bag om 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781107630024
  • Indbinding:
  • Paperback
  • Sideantal:
  • 278
  • Udgivet:
  • 22. April 2013
  • Størrelse:
  • 156x228x18 mm.
  • Vægt:
  • 396 g.
  • 2-3 uger.
  • 19. Juli 2024
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Beskrivelse af 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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