Dynamic Models for Volatility and Heavy Tails
Andrew C. Harvey
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at 250 WPM4h 42m
The average reader, reading at a speed of 250 WPM, would take 4h 42m to read Dynamic Models for Volatility and Heavy Tails.
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Dynamic Models for Volatility and Heavy Tails
Published
2013
Publisher
Cambridge University Press
Pages
282
ISBN-13
9781107333567
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, such as those arising from data on the range of returns and the time between trades. Furthermore, 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. As such, there are applications not only to financial data but also to macroeconomic time series and to time series in other disciplines. 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. The practical value of the proposed models is illustrated by fitting them to real data sets.
Data science from scratch
Basic econometrics
Theory of econometrics
Statistics for business and economics
Introduction to econometrics
Econometric analysis
Frequently Asked Questions
How many pages are in Dynamic Models for Volatility and Heavy Tails?
This edition of Dynamic Models for Volatility and Heavy Tails has approximately 282 pages. Please note, this is an estimate and the exact page count can vary between hardcover, paperback, and e-book versions.
How long does it take to read Dynamic Models for Volatility and Heavy Tails?
For most readers, Dynamic Models for Volatility and Heavy Tails typically takes between 5h 53m and 3h 55m to complete. This is based on the book's length of approximately 70,500 words and common reading speeds.
Here's a detailed breakdown: • Continuous reading at 250 WPM: approximately 4h 42m of focused reading • Casual reading (30 minutes/day): you could finish in roughly 10 days • Estimated word count: 70,500 words
Your individual reading time will vary based on your personal reading pace, the amount of daily reading time, and your familiarity with the subject matter.
What is the word count of Dynamic Models for Volatility and Heavy Tails?
The estimated word count for Dynamic Models for Volatility and Heavy Tails is approximately 70,500 words. This figure is calculated using industry-standard methods that consider genre-specific word density patterns, typical formatting and layout characteristics, and standard words-per-page ratios for published books.
This is an approximation — actual word count may vary based on font size, formatting, edition, and the presence of illustrations or charts.
Who is the author of Dynamic Models for Volatility and Heavy Tails?
Dynamic Models for Volatility and Heavy Tails was written by Andrew C. Harvey.
When was Dynamic Models for Volatility and Heavy Tails published?
The publication date for this specific edition is 2013. The original work may have been published on a different date.