Dynamic Models for Volatility and Heavy Tails
With Applications to Financial and Economic Time Series
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…
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Produktdetails
- ISBN: 978-1-107-33127-3
- EAN: 9781107331273
- Produktnummer: 16942548
- Verlag: Cambridge University Press
- Sprache: Englisch
- Erscheinungsjahr: 2013
- Seitenangabe: 0 S.
- Plattform: PDF
- Masse: 3'685 KB
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