Modeling time-varying unconditional variance by means of a free-knot spline-garch model
Auteur :
Old, Oliver
Éditeur :
Springer Fachmedien Wiesbaden
ISBN :
9783658386177
Date de publication :
28 juil. 2022
Dimensions :
21,0 x 14,8 cm
Langue :
Anglais
Pays d'origine :
Allemagne
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.