{"product_id":"9783031591587","title":"Springer Series in Operations Research and Financial Engineering: Models with Power-Law Tails","description":"\u003ch1\u003eSpringer Series in Operations Research and Financial Engineering: Models with Power-Law Tails\u003c\/h1\u003e \u003ch2\u003eMikosch, Thomas; Wintenberger, Olivier\u003c\/h2\u003e \u003cp\u003e\u003c\/p\u003e\u003cp\u003eThis book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models.\u003c\/p\u003e\n\n\u003cp\u003eRigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures.\u003c\/p\u003e\n\n\u003cp\u003eThe remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques.\u003c\/p\u003e\n\n\u003cp\u003eA major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. \u003c\/p\u003e\n\n\u003cp\u003eThis text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data.\u003c\/p\u003e\n\n\u003cp\u003eThe book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis.\u003c\/p\u003e\n\n\u003cp\u003eIt is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible.\u003c\/p\u003e\n\n\u003cp\u003e \u003c\/p\u003e\n\n\u003cp\u003e \u003c\/p\u003e \u003ch3\u003eDetails\u003c\/h3\u003e \u003cp\u003ePublished by: Springer\u003c\/p\u003e \u003cp\u003ePublication Date: 2025-08-03\u003c\/p\u003e \u003cp\u003eFormat: Paperback\u003c\/p\u003e \u003cp\u003eISBN-13: 9783031591587\u003c\/p\u003e \u003cp\u003eDOI: 10.1007\/978-3-031-59156-3\u003c\/p\u003e \u003cp\u003eDimensions: 235cm x155cm\u003c\/p\u003e \u003cp\u003ePages: 766\u003c\/p\u003e ","brand":"Springer Nature Switzerland","offers":[{"title":"Default Title","offer_id":44398610907276,"sku":"9783031591587","price":224.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9783031591587.jpg?v=1775737821","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9783031591587","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}