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Dynamic Models for Volatility and Heavy Tails
The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.
Political Economy of Brazil
This book assesses the performance of the first Lula government (2002-06) from different perspectives including economics, politics, history and social policy. While the focus is on Brazil, it also refers to the experiences of similar countries both for comparative purposes and for evidence of the success or otherwise of this 'new' era for Brazil.
Mathematical Reviews
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Toward a Free Economy
The unknown history of economic conservatism in India after independence Neoliberalism is routinely characterized as an antidemocratic, expert-driven project aimed at insulating markets from politics, devised in the North Atlantic and projected on the rest of the world. Revising this understanding, Toward a Free Economy shows how economic conservatism emerged and was disseminated in a postcolonial society consistent with the logic of democracy. Twelve years after the British left India, a Swatantra (“Freedom”) Party came to life. It encouraged Indians to break with the Indian National Congress Party, which spearheaded the anticolonial nationalist movement and now dominated Indian democra...
The Reserve Bank of India: Volume 5
The fifth volume on the history of the Reserve Bank of India covers the years from 1997–98 to 2007–08. During this period, it introduced key institutional and financial market reforms in a rapidly changing economic environment and facilitated faster integration of the Indian economy. The Bank rationalised and introduced innovative instruments of monetary control; strengthened regulatory and supervisory processes for both banking and non-banking sectors; adjusted its approach to achieve and sustain financial stability; focussed on building financial market institutions and infrastructure; and spurred legal and other amendments in the larger public interest as also for achieving flexibility with stability in the economy. It also worked to improve the rural credit system, financial inclusion and customer protection. This volume is a narrative history of the Bank and also a rich resource for understanding how an emerging market central bank manages change and shapes the economy to face future challenges.
Law and Long-Term Economic Change
This edited volume provides a unique multidisciplinary perspective on the relationship between legal regimes and long-term economic development across major civilizations in Eurasia.
