Journal of Economic Literature Vol. 51 No. 4 2013
Mathematical and Quantitative Methods: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series
Abstract
Timo Terasvirta of Aarhus University reviews, “Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series” by Andrew C. Harvey. The Econlit abstract of this book begins: “Presents a theory for a class of nonlinear time series models that can deal with dynamic distributions, with an emphasis on models in which the conditional distribution of an observation may be heavy-tailed and the location and/or scale changes over time. Discusses statistical distributions and asymptotic theory; location; scale; location/scale models for nonnegative variables; dynamic kernel density estimation and time-varying quantiles; multivariate models, correlation, and association; and further directions in dynamic models. Harvey is Professor of Econometrics at the University of Cambridge and Fellow of Corpus Christi College, the Econometric Society, and the British Academy.”
- DOI
- 10.1257/jel.51.4.1183.r4
- Volume
- 51
- Issue
- 4
- Pages
- 1190-1192
- Language
- en
- Sources
- openalex crossref