Dynamic Models for Volatility and Heavy Tails With Applications to Financial and Economic Time Series |
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| Author:
| Harvey, Andrew C. |
| Series title: | Econometric Society Monographs |
| ISBN: | 978-1-107-63002-4 |
| Publication Date: | Apr 2013 |
| Publisher: | Cambridge University Press
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| Book Format: | Paperback |
| List Price: | AUD $61.95 |
Book Description:
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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.
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.