Książka Dynamic Models for Volatility and Heavy Tails Andrew C Harvey

Dynamic Models for Volatility and Heavy Tails

With Applications to Financial and Economic Time Series

Język: Angielski
Oprawa: Twarda
Dostępność: Dostępna u dostawcy
Wysyłamy za 14-21 dni
594.45
The volatility of financial returns changes over time and, for the last thirty years, Generalized Au...

Informacje o książce

Język
Angielski
Oprawa
Książka - Twarda
Data wydania
2013
strony
282
EAN
9781107034723
ISBN
1107034728
Enbook ID
01338421
Waga
590
Wymiary
152 x 229 x 19

Pełny opis

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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