Dynamic Models for Volatility and Heavy Tails

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Sprache: Englisch

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Beschreibung

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

Über den Autor

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.

Inhaltsverzeichnis

1. Introduction; 2. Statistical distributions and asymptotic theory; 3. Location; 4. Scale; 5. Location/scale models for non-negative variables; 6. Dynamic kernel density estimation and time-varying quantiles; 7. Multivariate models, correlation and association; 8. Conclusions and further directions.

Details

Erscheinungsjahr:	2013
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
ISBN-13:	9781107630024
ISBN-10:	1107630029
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Harvey, Andrew C.
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	229 x 152 x 17 mm
Von/Mit:	Andrew C. Harvey
Erscheinungsdatum:	27.06.2013
Gewicht:	0,462 kg