| 书目名称 | Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model |
| 编辑 | Oliver Old |
| 视频video | |
| 丛书名称 | Gabler Theses |
| 图书封面 |  |
| 描述 | .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.. |
| 出版日期 | Book 2022 |
| 关键词 | Free knot spline function; time varying unconditional variance; time varying second moment; GARCH; splin |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-38618-4 |
| isbn_softcover | 978-3-658-38617-7 |
| isbn_ebook | 978-3-658-38618-4Series ISSN 2731-3220 Series E-ISSN 2731-3239 |
| issn_series | 2731-3220 |
| copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wies |
发表于 2025-3-21 19:56:54
