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

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

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Beschreibung

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...

Beschreibung

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.

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

28.07.2022

Abbildungen

XXII, 237 p. 57 illus. in color.

Verlag Springer Fachmedien Wiesbaden GmbH

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

28.07.2022

Abbildungen

XXII, 237 p. 57 illus. in color.

Verlag Springer Fachmedien Wiesbaden GmbH
Seitenzahl

237

Maße (L/B/H)

21/14.8/1.5 cm

Gewicht

341 g

Auflage

1st ed. 2022

Sprache

Englisch

ISBN

978-3-658-38617-7

Herstelleradresse

Springer-Verlag GmbH
Tiergartenstr. 17
69121 Heidelberg
DE

Email: ProductSafety@springernature.com

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  • Produktbild: Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
  • Introduction.- Financial time series.- Smoothing long term volatility.- 4 Free-knot spline-GARCH model.- Simulation study.- Empirical study.- Conclusion.