Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model / / Oliver Old

• Record Nr.: UNINA9910585789603321
• Autore: Old Oliver
• Pubbl/distr/stampa: Wiesbaden, Germany : , : Springer Gabler, , [2022]; ©2022
• ISBN: 9783658386184; 9783658386177
• Descrizione fisica: 1 online resource (260 pages)
• Collana: Gabler theses
• Disciplina: 519.538
• Soggetti: Analysis of variance; Spline theory
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Intro -- Foreword -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- List of Abbreviations -- List of Symbols -- 1 Introduction -- 1.1 Motivation -- 1.2 Problem statement -- 1.3 Outline of the thesis -- 2 Financial time series -- 2.1 Definitions and properties -- 2.2 Stylized facts -- 2.3 Model specification -- 2.4 Univariate GARCH models -- 2.5 Long-range dependence and structural breaks -- 3 Smoothing long term volatility -- 3.1 Multiplicative decomposition of the conditional variance function -- 3.2 Spline functions -- 3.2.1 Truncated power spline function -- 3.2.2 B-spline functions -- 3.3 Model review -- 3.3.1 Spline volatility models -- 3.3.2 Spline-GARCH model -- 3.3.3 B-spline-GARCH model -- 3.3.4 P-spline GARCH model -- 4 Free-knot spline-GARCH model -- 4.1 Optimization -- 4.2 Estimation methods -- 4.2.1 Least-squares -- 4.2.2 Least-squares with free-knots -- 4.2.3 Jupp transformation -- 4.2.4 Quasi-maximum-likelihood -- 4.3 Model selection -- 4.4 Forecast evaluation -- 4.5 Starting vector -- 5 Simulation study -- 5.1 Previous studies -- 5.2 Simulation setup -- 5.2.1 Data generating process -- 5.2.2 Computational aspects -- 5.2.3 Sample statistics -- 5.2.4 Asymptotic statistics -- 5.2.5 Specification -- 5.2.6 Starting vectors -- 5.3 Model selection -- 5.4 Finite sample properties -- 6 Empirical study -- 6.1 Previous studies -- 6.2 In-sample analysis -- ; 6.3 Out-of-sample forecast -- 7 Conclusion -- 7.1 Research problems and contributions -- 7.2 Research questions -- 7.3 Limitations and future research -- 7.4 Concluding remarks -- References -- Appendices -- A Standardized Student's t-distribution -- B Derivatives -- B.1 Free-knot spline-GARCH model -- B.2 P-spline-GARCH model -- C Tables -- C.1 Simulation study: knots -- C.2 Simulation study: Finite sample properties -- C.3 Empirical study -- D Figures.; D.1 Simulation study: distribution of knot selection -- D.2 Simulation study: asymptotic distribution estimators -- D.3 Emprical study.