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Book Synopsis Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model by : Oliver Old
Download or read book Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model written by Oliver Old and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model by : Oliver Old
Download or read book Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model written by Oliver Old and published by Springer Nature. This book was released on 2022-07-27 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Probability and Statistical Inference by : J. G. Kalbfleisch
Download or read book Probability and Statistical Inference written by J. G. Kalbfleisch and published by Springer. This book was released on 1979-12-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended as a text for an introductory course in probability and statistics at the second or third year university level. It emphasizes applications and logical principles rather than mathematical theory. A good background in freshman calcuius is suf ficient for most of the material presented. The book is in two parts. The first part (Chapters 1 - 8) deals with probability models and with mathematical methods for hand ling them. in the second part (Chapters 9 - 16), probability models are used as the basis for the analysis and interpretation of data. Several starred sections have been included as supplementary material. A large supply of practice problems is provided, and Appendix A con tains answers to about one-third of these. Computers and sophisticated pocket calculators are having a profound effect on statistical practice. Not only can the same ari thmetic be done in a fraction of the time, but more importantly, statistical methods which were previously not feasible because of the amount of calculation required now present no difficulties. In par ticular, the likelihood function itself and procedures closely related to it now give simple and immediate solutions to problems which twenty years ago would have required complicated approximate solutions of doubtful accuracy. One reason for writing this book was to draw at tention to these useful methods.
