Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs, Series Number 52)

Harvey, Andrew C. C.

ISBN 10: 1107630029 / ISBN 13: 9781107630024

Editore: Cambridge University Press, 2013

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Dati bibliografici

• Titolo: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series (Econometric Society Monographs, Series Number 52)
• Editore: Cambridge University Press
• Data di pubblicazione: 2013
• Lingua: Inglese
• ISBN 10: 1107630029
• ISBN 13: 9781107630024
• Rilegatura: Brossura
• Condizione: New

Descrizione articolo

Riassunto

The book presents a statistical theory for a class of nonlinear time-series models. It will be of interest to econometricians and statisticians.

Informazioni sull?autore

Andrew Harvey is Professor of Econometrics at the University of Cambridge and a Fellow of Corpus Christi College. He is a Fellow of the Econometric Society and of the British Academy. He has published more than one hundred articles in journals and edited volumes and is the author of three books, The Econometric Analysis of Time Series, Time Series Models, and Forecasting and Structural Time Series Models and the Kalman Filter (Cambridge University Press, 1989). He is one of the developers of the STAMP computer package.