Gabler Theses

Old, Oliver

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.

Details

Published by: Springer Gabler

Publication Date: 2022-07-28

Format: Paperback

ISBN-13: 9783658386177

DOI: 10.1007/978-3-658-38618-4

Dimensions: 210cm x148cm

Pages: 237