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

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Paperback / softback by Oliver Old Short Description:

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of... Read more

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Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Publication Date: 28/07/2022
ISBN13: 9783658386177, 978-3658386177
ISBN10: 3658386177

Number of Pages: 237

Non Fiction , Business, Finance & Law