Téléchargez le livre : 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

de

Éditeur :

Springer Gabler


Collection :

Gabler Theses

Paru le : 2022-07-27

eBook Téléchargement , DRM LCP 🛈 DRM Adobe 🛈
94,94 €
Téléchargement immédiat
Dès validation de votre commande
Image Louise Reader présentation

Louise Reader

Lisez ce titre sur l'application Louise Reader.

badge apple Application Louise Reader
badge Android Application Louise Reader
Description

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.
Pages
237 pages
Collection
Gabler Theses
Parution
2022-07-27
Marque
Springer Gabler
EAN papier
9783658386177
EAN PDF
9783658386184
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
23
Taille du fichier
29297 Ko
Prix
94,94 €

Suggestions personnalisées