Read 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

Oliver Old

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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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model. To get started finding Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 260

Format: PDF, EPUB & Kindle Edition

Publisher: Springer Nature

Release: 2022

ISBN: W0

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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model. To get started finding Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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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

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