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Journal of Economic Literature - Book Review

JEL Volume. 51, Issue 4 | leftPrevious Review Next Review right

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Book(s) Reviewed

Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series by Andrew C. Harvey

Published By: Econometric Society Monographs, no. 52. Cambridge and New York: Cambridge University Press
ISBN: 978-1-107-03472-3, cloth; 978-1-107-63002-4, pbk.
Date of Publication: 2013


Book Review Detail

Reviewed by: Timo Teräsvirta of Aarhus University
Review DOI: 10.1257/jel.51.4.1183.r4
Review Pages: 1190-92

Book Review 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."


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Book Review Authors

Timo Teräsvirta of Aarhus University


JEL Classifications

C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C32: Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Dynamic Factor Models
C58: Financial Econometrics


Journal of Economic Literature


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