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Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs)
Dynamic Models for Volatility and Heavy Tails With Applications to Financial and Economic Time Series - Econometric Society Monographs
Author: Andrew C. Harvey
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 ca...  more »
ISBN-13: 9781107034723
ISBN-10: 1107034728
Publication Date: 3/31/2013
Pages: 397
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Publisher: Cambridge University Press
Book Type: Hardcover
Other Versions: Paperback
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