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 ...
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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.
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Add this copy of Modeling Time-Varying Unconditional Variance by Means to cart. $27.49, new condition, Sold by booksXpress, ships from Bayonne, NJ, UNITED STATES, published 2022 by Springer Gabler.
Add this copy of Modeling Time-Varying Unconditional Variance by Means to cart. $103.32, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2022 by Springer Gabler.
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New. Print on demand Contains: Illustrations, color. Gabler Theses . XXII, 237 p. 57 illus. in color. Intended for professional and scholarly audience.
