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

Informationen zum 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. Klappentext The book presents a statistical theory for a class of nonlinear time-series models. It will be of interest to econometricians and statisticians. Zusammenfassung This book presents a statistical theory for a class of nonlinear time-series models. It has particular relevance for the modeling of volatility in financial time series but the overall approach will be of interest to econometricians and statisticians in a variety of disciplines. Inhaltsverzeichnis 1. Introduction; 2. Statistical distributions and asymptotic theory; 3. Location; 4. Scale; 5. Location/scale models for non-negative variables; 6. Dynamic kernel density estimation and time-varying quantiles; 7. Multivariate models, correlation and association; 8. Conclusions and further directions.

Product details

• Authors: A. C. Harvey, Andrew C Harvey, Andrew C. Harvey, Andrew C. (University of Cambridge) Harvey
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 22.04.2013
• EAN: 9781107630024
• ISBN: 978-1-107-63002-4
• No. of pages: 278
• Series: Econometric Society Monographs; Econometric Society Monographs
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > Miscellaneous