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Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model (Paperback, 1st ed. 2022) Loot Price: R2,667

Discovery Miles 26 670

Repayment Terms: R250 pm x 12*

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Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model (Paperback, 1st ed. 2022): Oliver Old

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model (Paperback, 1st ed. 2022)

Oliver Old

Series: Gabler Theses

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Loot Price R2,667 Discovery Miles 26 670 | Repayment Terms: R250 pm x 12*

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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.

General

Imprint:	Springer Gabler
Country of origin:	Germany
Series:	Gabler Theses
Release date:	July 2022
First published:	2022
Authors:	Oliver Old
Dimensions:	210 x 148mm (L x W)
Format:	Paperback
Pages:	237
Edition:	1st ed. 2022
ISBN-13:	978-3-658-38617-7
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Business mathematics & systems > General Books > Money & Finance > General Promotions
LSN:	3-658-38617-7
Barcode:	9783658386177