Dynamic Models for Volatility and Heavy Tails (Hardcover)
 
作者: Andrew C Harvey 
分類: Econometrics ,
Probability & statistics  
書城編號: 1094818


售價: $1148.00

購買後立即進貨, 約需 18-25 天

 
 
出版社: Cambridge University Press
出版日期: 2013/04/22
尺寸: 0x0x0mm
ISBN: 9781107034723

商品簡介
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.
Andrew C Harvey 作者作品表

Dynamic Models for Volatility and Heavy Tails (Hardcover)

Dynamic Models for Volatility and Heavy Tails (Paperback)

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