Dynamic Models for Volatility and Heavy Tails With Applications to Financial and Economic Time Series
Book contents
- Frontmatter
- Contents
- Preface
- Acronyms and Abbreviations
- 1 Introduction
- 2 Statistical Distributions and Asymptotic Theory
- 3 Location
- 4 Scale
- 5 Location/Scale Models for Non-negative Variables
- 6 Dynamic Kernel Density Estimation and Time-Varying Quantiles
- 7 Multivariate Models, Correlation and Association
- 8 Conclusions and Further Directions
- A Derivation of Formulae in the Information Matrix
- B Autocorrelation Functions
- C GED Information Matrix
- D The Order of GARCH Models
- E Computer Programs
- Bibliography
- Author Index
- Subject Index
- Other titles in the series
Contents
Published online by Cambridge University Press: 05 May 2013
Book contents
- Frontmatter
- Contents
- Preface
- Acronyms and Abbreviations
- 1 Introduction
- 2 Statistical Distributions and Asymptotic Theory
- 3 Location
- 4 Scale
- 5 Location/Scale Models for Non-negative Variables
- 6 Dynamic Kernel Density Estimation and Time-Varying Quantiles
- 7 Multivariate Models, Correlation and Association
- 8 Conclusions and Further Directions
- A Derivation of Formulae in the Information Matrix
- B Autocorrelation Functions
- C GED Information Matrix
- D The Order of GARCH Models
- E Computer Programs
- Bibliography
- Author Index
- Subject Index
- Other titles in the series
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- Dynamic Models for Volatility and Heavy TailsWith Applications to Financial and Economic Time Series, pp. vii - xiiPublisher: Cambridge University PressPrint publication year: 2013