Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
(Bog, Paperback / softback, Engelsk)
Forlag:
Springer Fachmedien Wiesbaden
- Type: Bog
- Format: Paperback / softback
-
Sprog:
Engelsk
- ISBN-13: 9783658386177
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Beskrivelse
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.
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| Forlag | Springer Fachmedien Wiesbaden |
| Forfatter | Oliver Old |
| Type | Bog |
| Format | Paperback / softback |
| Sprog | Engelsk |
| Udgave | 1st ed. 2022 |
| Udgivelsesdato | 28-07-2022 |
| Første udgivelsesår | 2022 |
| Serie | Gabler Theses |
| Illustrationer | 57 Illustrations, color |
| Originalsprog | Germany |
| Sideantal | 237 |
| Indbinding | Paperback / softback |
| Forlag | Springer Fachmedien Wiesbaden |
| Sideoplysninger | 237 pages, 57 Illustrations, color |
| Mål | 210 x 148 |
| ISBN-13 / EAN-13 | 9783658386177 |