Dynamic Models for Volatility and Heavy Tails : With Applications to Financial and Economic Tim...
ISBN: 9781107630024 | 1107630029
Format: PaperbackPublisher: Cambridge Univ Pr
Pub. Date: 4/22/2013
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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. 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 ... MORE
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