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Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Engelsk Paperback

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

Engelsk Paperback

803 kr
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Om denne bog

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.

Product detaljer
Sprog:
Engelsk
Sider:
237
ISBN-13:
9783658386177
Indbinding:
Paperback
Udgave:
ISBN-10:
3658386177
Kategori:
Udg. Dato:
28 jul 2022
Længde:
0mm
Bredde:
148mm
Højde:
210mm
Forlag:
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Oplagsdato:
28 jul 2022
Forfatter(e):
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