Modeling Time Varying Unconditional Variance by Means of a Free Knot Spline GARCH Model is popular PDF and ePub book, written by Oliver Old in 2022, it is a fantastic choice for those who relish reading online the Uncategoriezed genre. Let's immerse ourselves in this engaging Uncategoriezed book by exploring the summary and details provided below. Remember, Modeling Time Varying Unconditional Variance by Means of a Free Knot Spline GARCH Model can be Read Online from any device for your convenience.
Modeling Time Varying Unconditional Variance by Means of a Free Knot Spline GARCH Model Book PDF Summary
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. About the author: The dissertation was written at the Chair of Applied Statistics and Methods of Empirical Social Research at the Faculty of Economics and Business Administration of the FernUniversität in Hagen. From 2021 Oliver Old researched in the field of applied statistics, machine learning and data science at two EU-Horizon projects at the Department of Anesthesiology, Intensive Care and Pain Therapy at the University Hospital Frankfurt.
Detail Book of Modeling Time Varying Unconditional Variance by Means of a Free Knot Spline GARCH Model PDF
- Author : Oliver Old
- Release : 23 September 2024
- Publisher : Unknown
- ISBN : 3658386193
- Genre : Uncategoriezed
- Total Page : 0 pages
- Language : English
- PDF File Size : 18,7 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Modeling Time Varying Unconditional Variance by Means of a Free Knot Spline GARCH Model by Oliver Old, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.