Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series by Andrew C. Harvey

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

Econometric Society Monographs

Andrew C. Harvey

278 pages • missing pub info (view editions)

nonfiction business economics
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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. T...

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