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Modeling Time-Varying Unconditional Variance By Means Of A Free-Knot Spline-Garch Model
Livro
eBook
idioma: inglês
Editor:
Springer Fachmedien Wiesbaden, julho de 2022 ‧
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121,66€
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SINOPSE
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.
DETALHES
| Propriedade | Descrição |
|---|---|
| ISBN: | 9783658386177 |
| Editor: | Springer Fachmedien Wiesbaden |
| Data de Lançamento: | julho de 2022 |
| Idioma: | Inglês |
| Dimensões: | 148 x 210 x 20 mm |
| Encadernação: | Capa mole |
| Páginas: | 237 |
| Tipo de produto: | Livro |
| Coleção: | Gabler Theses |
| Classificação Temática: |
Livros em Inglês
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Economia, Finanças e Contabilidade
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Finanças
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| EAN: | 9783658386177 |
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