Dynamic Models for Volatility and Heavy Tails / Econometric Society Monographs (ePub)
With Applications to Financial and Economic Time Series
(Sprache: Englisch)
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...
sofort als Download lieferbar
eBook (ePub)
Fr. 36.90
inkl. MwSt.
- Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Dynamic Models for Volatility and Heavy Tails / Econometric Society Monographs (ePub)“
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. 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. 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.
Bibliographische Angaben
- Autor: Andrew C. Harvey
- 2013, Englisch
- Verlag: Cambridge University Press
- ISBN-10: 1107327121
- ISBN-13: 9781107327122
- Erscheinungsdatum: 22.04.2013
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Grösse: 6.92 MB
- Mit Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Family Sharing
eBooks und Audiobooks (Hörbuch-Downloads) mit der Familie teilen und gemeinsam geniessen. Mehr Infos hier.
Kommentar zu "Dynamic Models for Volatility and Heavy Tails / Econometric Society Monographs"
0 Gebrauchte Artikel zu „Dynamic Models for Volatility and Heavy Tails / Econometric Society Monographs“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Dynamic Models for Volatility and Heavy Tails / Econometric Society Monographs".
Kommentar verfassen