Capa do artigo Modeling Time-Varying Unconditional Variance By Means Of A Free-Knot Spline-Garch Model
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Modeling Time-Varying Unconditional Variance By Means Of A Free-Knot Spline-Garch Model eBook

by Oliver Old
Book eBook
language: english
Publisher: Springer Fachmedien Wiesbaden, July of 2022 ‧
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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.

Modeling Time-Varying Unconditional Variance By Means Of A Free-Knot Spline-Garch Model

by Oliver Old

Property Description
ISBN: 9783658386184
Publisher: Springer Fachmedien Wiesbaden
Release Date: July of 2022
Language: English
Format: eBook
File Format and Compatibility: PDF para ADE
Collection: Gabler Theses
Categories: eBooks in English > Economics, Finance and Accounting > Finances
EAN: 9783658386184

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