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  3. Dynamic Models for Volatility and Heavy Tails
  • Cited by 322
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    • Publisher:
      Cambridge University Press
      Publication date:
      May 2013
      April 2013
      ISBN:
      9781139540933
      9781107034723
      9781107630024
      DOI:
      https://doi.org/10.1017/CBO9781139540933
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.59kg, 282 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.39kg, 278 Pages
      • Subjects:
      Economics, Mathematics, Econometrics and Mathematical Methods, Mathematical Finance
      Series:
      Econometric Society Monographs (52)
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    • Selected: Digital
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    Subjects:
    Economics, Mathematics, Econometrics and Mathematical Methods, Mathematical Finance
    Series:
    Econometric Society Monographs (52)
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    Book description

    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 statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

    Reviews

    'It offers a comprehensive view of DCS models and is self-contained in that it includes the necessary statistical theory for understanding and applying them. Empirical examples help the reader appreciate the potential of these models.'

    Source: Journal of Economic Literature

    'Besides being invaluable to researchers in time series, the book will be of immense help to practitioners, particularly in the fields of econometrics and finance.'

    Sugata Sen Roy Source: Mathematical Reviews

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