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Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Häftad, Engelska, 2022
1 094 kr
Skickas inom 10-15 vardagar
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.