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

AvOliver Old

Häftad, Engelska, 2022

Del i serien Gabler Theses

1 139 kr

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E-bok

1 470 kr

Beskrivning

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.

Produktinformation

Utgivningsdatum:2022-07-28
Mått:148 x 210 x 15 mm
Vikt:341 g
Format:Häftad
Språk:Engelska
Serie:Gabler Theses
Antal sidor:237
Upplaga:22001
Förlag:Springer Fachmedien Wiesbaden
ISBN:9783658386177

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap
Affärsförhandlingar inom Ekonomi och Ledarskap
Affärsapplikationer inom Data och IT

Mer om författaren

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.

Innehållsförteckning

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

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