Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs, 52, Band 52) - Softcover

Buch 14�von 27: Econometric Society Monographs

Harvey, Andrew C. C.

9781107630024: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs, 52, Band 52)

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ISBN 10: 1107630029 ISBN 13: 9781107630024

Verlag: Cambridge University Press, 2013

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

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�ber die Autorin bzw. den Autor

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.

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Verlag: Cambridge University Press
Erscheinungsdatum: 2013
Sprache: Englisch
ISBN 10: 1107630029
ISBN 13: 9781107630024
Einband: Taschenbuch
Anzahl der Seiten: 282
Kontakt zum Hersteller: Nicht verf�gbar
Verantwortliche Person: gpsr@libri.de
gpsr@libri.de

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9781107034723: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs, 52, Band 52)

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ISBN 10: 1107034728 ISBN 13: 9781107034723
Verlag: Cambridge University Press, 2013
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Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs, Series Number 52)

Harvey, Andrew C. C.

Verlag: Cambridge University Press, 2013

ISBN 10: 1107630029 ISBN 13: 9781107630024

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Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series: 52 (Econometric Society Monographs, Series Number 52)

Harvey, Andrew C. C.

Verlag: Cambridge University Press, 2013

ISBN 10: 1107630029 ISBN 13: 9781107630024

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

Harvey, Andrew C.

Verlag: Cambridge University Press, 2013

ISBN 10: 1107630029 ISBN 13: 9781107630024

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Zustand: Very Good. Former library copy. Pages intact with possible writing/highlighting. Binding strong with minor wear. Dust jackets/supplements may not be included. Includes library markings. Stock photo provided. Product includes identifying sticker. Better World Books: Buy Books. Do Good. Bestandsnummer des Verk�ufers 56767297-20

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

Andrew C. Harvey

Verlag: Cambridge University Press, 2013

ISBN 10: 1107630029 ISBN 13: 9781107630024

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Softcover. Zustand: As New. 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, such as those arising from data on the range of returns and the time between trades. Furthermore, 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. As such, there are applications not only to financial data but also to macroeconomic time series and to time series in other disciplines. 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. The practical value of the proposed models is illustrated by fitting them to real data sets. Bestandsnummer des Verk�ufers 8b7b9f0f-9248-4fda-a51d-9b200a1f9e74

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

Harvey, Andrew C.

Verlag: Cambridge University Press, 2013

ISBN 10: 1107630029 ISBN 13: 9781107630024

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Zustand: Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,500grams, ISBN:9781107630024. Bestandsnummer des Verk�ufers 4928741

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