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

by Andrew C. Harvey

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 1107630029
• ISBN13: 9781107630024
• Release Date: June 2013
• Publisher: Cambridge University Press
• Length: 278 Pages
• Weight: 0.90 lbs.
• Dimensions: 0.8" x 6.1" x 9.0"