We aim to show you accurate product information. Manufacturers,
suppliers and others provide what you see here,
and we have not verified it.
The book presents a statistical theory for a class of nonlinear time-series models. It will be of interest to econometricians and statisticians. 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, such as those arising from data on the range of returns and the time between trades. Furthermore, 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. As such, there are applications not only to financial data but also to macroeconomic time series and to time series in other disciplines. 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. The practical value of the proposed models is illustrated by fitting them to real data sets."
Econometric Society Monographs
Cambridge University Press
Number of Pages
Andrew C Harvey
Assembled Product Dimensions (L x W x H)
9.10 x 6.20 x 0.90 Inches
Be the first to review this item!
Get specific details about this product from customers who own it.
Policies & Plans
About our prices
We're committed to providing low prices every day, on everything. So if you find a current lower price from an online retailer on an identical, in-stock product, tell us and we'll match it. See more details atOnline Price Match.
I have feedback on
Due to the high volume of feedback, we are unable to respond to individual comments. If you need immediate assistance, please contact Customer Care.
How was your experience with this page?
Sorry, but we can't respond to individual comments. If you need immediate assistance, please contact Customer Care.
Your feedback helps us make Walmart shopping better for millions of customers.
Generated at Fri, 15 Nov 2019 19:53:29 GMT exp-ck: undefined; xpa: ;