Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

Introduction -- Financial time series -- Smoothing long term volatility -- 4 Free-knot spline-GARCH model -- Simulation study -- Empirical study -- Conclusion.

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Bibliographische Detailangaben
1. Verfasser:	Old, Oliver
Format:	Buch
Sprache:	eng
Schlagworte:	Analysis of variance Business and Management Business information services Capital market Capital Markets IT in Business Mathematics and Statistics Spline theory
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	Introduction -- Financial time series -- Smoothing long term volatility -- 4 Free-knot spline-GARCH model -- Simulation study -- Empirical study -- Conclusion.
ISSN:	2731-3220 2731-3239
DOI:	10.1007/978-3-658-38618-4