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Dynamic Models for Volatility and Heavy Tails

- With Applications to Financial and Economic Time Series

Om Dynamic Models for Volatility and Heavy Tails

This book presents a statistical theory for a class of nonlinear time-series models. It has particular relevance for the modeling of volatility in financial time series but the overall approach will be of interest to econometricians and statisticians in a variety of disciplines.

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  • Språk:
  • Engelsk
  • ISBN:
  • 9781107034723
  • Bindende:
  • Hardback
  • Sider:
  • 282
  • Utgitt:
  • 22 April 2013
  • Dimensjoner:
  • 152x229x19 mm.
  • Vekt:
  • 590 g.
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Leveringstid: 2-4 uker
Forventet levering: 26 juli 2024

Beskrivelse av Dynamic Models for Volatility and Heavy Tails

This book presents a statistical theory for a class of nonlinear time-series models. It has particular relevance for the modeling of volatility in financial time series but the overall approach will be of interest to econometricians and statisticians in a variety of disciplines.

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