Dynamic models for volatility and heavy tails : (Record no. 517028)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02409nam a22003858i 4500 |
| 001 - CONTROL NUMBER | |
| control field | CR9781139540933 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | UkCbUP |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200124160224.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m|||||o||d|||||||| |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 120627s2013||||enk o ||1 0|eng|d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781139540933 (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781107034723 (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781107630024 (paperback) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UkCbUP |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | UkCbUP |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB139 |
| Item number | .H369 2013 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330.01/5195 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Harvey, A. C. |
| Fuller form of name | (Andrew C.), |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Dynamic models for volatility and heavy tails : |
| Remainder of title | with applications to financial and economic time series / |
| Statement of responsibility, etc | Andrew C. Harvey. |
| 246 3# - VARYING FORM OF TITLE | |
| Title proper/short title | Dynamic Models for Volatility & Heavy Tails |
| 264 #1 - Production, Publication, Distribution, Manufacture, and Copyright Notice (R) | |
| Place of production, publication, distribution, manufacture (R) | Cambridge : |
| Name of producer, publisher, distributor, manufacturer (R) | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xviii, 261 pages) : |
| Other physical details | digital, PDF file(s). |
| 336 ## - Content Type (R) | |
| Content type term (R) | text |
| Content type code (R) | txt |
| Source (NR) | rdacontent |
| 337 ## - Media Type (R) | |
| Media type term (R) | computer |
| Media type code (R) | c |
| Source (NR) | rdamedia |
| 338 ## - Carrier Type (R) | |
| Carrier type term (R) | online resource |
| Carrier type code (R) | cr |
| Source (NR) | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| სერიის ცნობა | Econometric Society monographs ; |
| Volume number/sequential designation | 52 |
| 500 ## - GENERAL NOTE | |
| General note | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Econometrics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Time-series analysis. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| International Standard Book Number | 9781107034723 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Econometric Society monographs ; |
| Volume number/sequential designation | 52. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1017/CBO9781139540933">https://doi.org/10.1017/CBO9781139540933</a> |
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