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Springer Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model (Gabler Theses)

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£71.97 £67.80 £68.71 £69.62 £70.53 £71.44 £72.35 23 July 2026 05 August 2026 19 August 2026 02 September 2026 16 September 2026
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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.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
28 July 2022
Listed Since
28 June 2022

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