Oliver Old
Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Paperback Engels 2022 9783658386177
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9783658386177
Taal:Engels
Bindwijze:paperback
Uitgever:Springer Fachmedien Wiesbaden
Serie:Gabler Theses
Lezersrecensies
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Inhoudsopgave
Introduction.- Financial time series.- Smoothing long term volatility.- 4 Free-knot spline-GARCH model.- Simulation study.- Empirical study.- Conclusion.
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