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Authors: Andrew C. Harvey
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Type: BOOK - Published: 2013-04-22 - Publisher: Cambridge University Press

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The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models h
Dynamic Models for Volatility and Heavy Tails
Language: en
Pages: 281
Authors: Andrew C. Harvey
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Type: BOOK - Published: 2013-04-22 - Publisher: Cambridge University Press

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The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models h
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Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are jus
Handbook of Heavy Tailed Distributions in Finance
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The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in
Directional Statistics for Innovative Applications
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In commemoration of the bicentennial of the birth of the “lady who gave the rose diagram to us”, this special contributed book pays a statistical tribute to