Dynamic Models for Volatility and Heavy Tails Harvey Hardback 9781107034723

Dynamic Models for Volatility and Heavy TailsWith Applications to Financial and Economic Time Series\nAuthor(s): Andrew C. Harvey\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9781107034723, 978-1107034723\nSynopsis\nThe 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. The more general class of Dynamic Conditional Score models extends to rob.