Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model (1st ed. 2022) (Gabler Theses)
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- Synopsis
- 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.
- Copyright:
- 2022
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783658386184
- Related ISBNs:
- 9783658386177
- Publisher:
- Springer Fachmedien Wiesbaden
- Date of Addition:
- 09/01/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.