Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series

ISBN: 9781107630024 出版年：2013 页码：282 Harvey Cambridge University Press

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.