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

-15% su kodu: ENG15
143,97 
Įprasta kaina: 169,38 
-15% su kodu: ENG15
Kupono kodas: ENG15
Akcija baigiasi: 2025-03-03
-15% su kodu: ENG15
143,97 
Įprasta kaina: 169,38 
-15% su kodu: ENG15
Kupono kodas: ENG15
Akcija baigiasi: 2025-03-03
-15% su kodu: ENG15
2025-02-28 169.3800 InStock
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Knygos aprašymas

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.

Informacija

Autorius: Oliver Old
Serija: Gabler Theses
Leidėjas: Springer Fachmedien Wiesbaden
Išleidimo metai: 2022
Knygos puslapių skaičius: 260
ISBN-10: 3658386177
ISBN-13: 9783658386177
Formatas: 210 x 148 x 15 mm. Knyga minkštu viršeliu
Kalba: Anglų

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