Modeling time-varying unconditional variance by means of a free-knot splinegarch model (Record no. 5060)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01040nam a22001817a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20230314130329.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 230314b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783658386177 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330 |
| Item number | OLD |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Old, Oliver |
| 245 ## - TITLE STATEMENT | |
| Title | Modeling time-varying unconditional variance by means of a free-knot splinegarch model |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher, distributor, etc. | Springer |
| Place of publication, distribution, etc. | Switzerland |
| Date of publication, distribution, etc. | 2022 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xxii, 237 p. |
| 365 ## - TRADE PRICE | |
| Price type code | EURO |
| Price amount | 84.99 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | GARCH Model |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Book |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Bill No | Bill Date | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Accession Number | Date last seen | Copy number | Cost, replacement price | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Finance & Accounting | IN377 | 20-02-2023 | Indian Institute of Management LRC | Indian Institute of Management LRC | General Stacks | 03/14/2023 | Bharatiya Sahitya Bhavana | 5135.46 | 330 OLD | 004692 | 03/14/2023 | 1 | 7810.58 | 03/14/2023 | Book |