Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model (Gabler Theses) - Softcover

Old, Oliver

Softcover

ISBN 10: 3658386177 ISBN 13: 9783658386177

Verlag: Springer Gabler, 2022

Inhaltsangabe

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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Über die Autorin bzw. den Autor

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.

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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.

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.

Details zur Ausgabe

• Verlag: Springer Gabler
• Erscheinungsdatum: 2022
• Sprache: Englisch
• ISBN 10: 3658386177
• ISBN 13: 9783658386177
• Einband: Taschenbuch
• Auflage: 1
• Anzahl der Seiten: 259
• Kontakt zum Hersteller: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Deutschland