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Modeling Time-Varying Unconditional Variance By Means Of A Free-Knot Spline-Garch Model
Book
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language: english
Publisher:
Springer Fachmedien Wiesbaden, July of 2022 ‧
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121,66€
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SYNOPSIS
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.
DETAILS
| Property | Description |
|---|---|
| ISBN: | 9783658386177 |
| Publisher: | Springer Fachmedien Wiesbaden |
| Release Date: | July of 2022 |
| Language: | English |
| Dimensions: | 148 x 210 x 20 mm |
| Cover: | Softcover |
| Pages: | 237 |
| Format: | Book |
| Collection: | Gabler Theses |
| Categories: |
Books in English
>
Economics, Finance and Accounting
>
Finances
Books in English > Others |
| EAN: | 9783658386177 |
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