Dynamic models for volatility and heavy tails: with applications to financial and economic time series
Auteur :
Harvey, Andrew C.
Éditeur :
Cambridge University Press
ISBN :
9781107034723
Date de publication :
22 avr. 2013
Dimensions :
22,9 x 15,2 x 1,9 cm
Poids :
590 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.