Dynamic Models for Volatility and Heavy Tails

DOI10.1017/CBO9781139540933zbMath1326.62001OpenAlexW2206149923MaRDI QIDQ2925319

Publication date: 21 October 2014

Full work available at URL: https://doi.org/10.1017/cbo9781139540933

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10) General nonlinear regression (62J02) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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