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 ...
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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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Add this copy of Dynamic Models for Volatility and Heavy Tails: With to cart. $34.10, fair condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2013 by Cambridge University Press.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has soft covers. In fair condition, suitable as a study copy. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 500grams, ISBN: 9781107630024.
Add this copy of Econometric Society Monographs: Dynamic Models for to cart. $34.99, good condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2013 by Cambridge University Press.
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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.
Add this copy of Dynamic Models for Volatility and Heavy Tails: With to cart. $40.03, very good condition, Sold by Monarchy Books rated 4.0 out of 5 stars, ships from Toronto, ON, CANADA, published 2013 by Cambridge University Press.
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Very Good. Size: 6x0x9; In Very Good Condition. 261 Pages With The Index. Paperback. Used Book. No Remarks Or Highlights Inside. Specializing in academic, collectible and historically significant, providing the utmost quality and customer service satisfaction. For any questions feel free to email us.
Add this copy of Dynamic Models for Volatility and Heavy Tails: With to cart. $40.81, new condition, Sold by Ria Christie Books rated 4.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2013 by Cambridge University Press.
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New. Trade paperback (US). Contains: Line drawings, Tables. Econometric Society Monographs . 43 b/w illus. 14 tables. Intended for professional and scholarly audience.
Add this copy of Dynamic Models for Volatility and Heavy Tails to cart. $41.31, poor condition, Sold by Books International rated 3.0 out of 5 stars, ships from Toronto, ON, CANADA, published 2013 by Cambridge University Press.
Add this copy of Dynamic Models for Volatility and Heavy Tails: With to cart. $47.52, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Santa Clarita, CA, UNITED STATES, published 2013 by Cambridge University Press.
