000			01040nam a22001817a 4500
999			_c5060 _d5060
005			20230314130329.0
008			230314b ||||| |||| 00| 0 eng d
020			_a9783658386177
082			_a330 _bOLD
100			_aOld, Oliver _911871
245			_aModeling time-varying unconditional variance by means of a free-knot splinegarch model
260			_bSpringer _aSwitzerland _c2022
300			_axxii, 237 p.
365			_aEURO _b84.99
520			_aThe 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			_aGARCH Model _912216
942			_2ddc _cBK