Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series

by Andrew C. Harvey

Book Overview

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... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 1107630029
• ISBN13: 9781107630024
• Release Date: June 2013
• Publisher: Cambridge University Press
• Length: 278 Pages
• Weight: 0.90 lbs.
• Dimensions: 0.8" x 6.1" x 9.0"