Modeling Time-varying Unconditional Variance by Means of a Free-knot Spline-garch Model - Couverture souple

Old, Oliver

 
9783658386177: Modeling Time-varying Unconditional Variance by Means of a Free-knot Spline-garch Model
Couverture souple
ISBN 10 : 3658386177 ISBN 13 : 9783658386177
Editeur : Springer Gabler, 2022

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. 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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

The dissertation was written at the Chair of Applied Statistics and Methods of Empirical Social Research at the Faculty of Economics and Business Administration of the FernUniversität in Hagen. From 2021 Oliver Old researched in the field of applied statistics, machine learning and data science at two EU-Horizon projects at the Department of Anesthesiology, Intensive Care and Pain Therapy at the University Hospital Frankfurt.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer Gabler
Date d'édition
2022
Langue
anglais
ISBN 10 
3658386177
ISBN 13 
9783658386177
Reliure
Broché
Numéro d'édition
1
Nombre de pages
259
Coordonnées du fabricant
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