DYNAMIC MODELS FOR VOLATILITY AND HEAVY TAILS: WITH APPLICATIONS TO FINANCIAL AND ECONOMIC TIME SERIES, BY A. C. HARVEY. PUBLISHED BY CAMBRIDGE UNIVERSITY PRESS, 2013 NEW YORK, USA. TOTAL NUMBER OF PAGES: 261. PRICE: $36.99. ISBN: 978-1-107-63002-4

DOI10.1111/jtsa.12061zbMath1302.00025OpenAlexW2005725624MaRDI QIDQ2933198

Alastair R. Hall

Publication date: 10 December 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12061

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) External book reviews (00A17)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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