Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model - Gabler Theses - Oliver Old - Books - Springer Fachmedien Wiesbaden - 9783658386177 - July 28, 2022
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Oliver Old
Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model - Gabler Theses 1st ed. 2022 edition

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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.

237 pages, 57 Illustrations, color; XXII, 237 p. 57 illus. in color.; 57 Illustrations, color; XXII,

Media Books     Paperback Book   (Book with soft cover and glued back)
Released July 28, 2022
ISBN13 9783658386177
Publishers Springer Fachmedien Wiesbaden
Pages 237
Dimensions 150 × 220 × 10 mm   ·   344 g
Language English  

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