Dynamic Models for Volatility and Heavy Tails

Dynamic Models for Volatility and Heavy Tails With Applications to Financial and Economic Time Series Andrew C. (University of Cambridge) Harvey

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.
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Specificaties

ISBN
9781107630024
Uitgever
Cambridge University Press
Druk
1e
Verschenen
22-04-2013
Taal
Engels
Bladzijden
278 pp.
Bindwijze
Paperback
Genre
Economie

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