LEADER 03563nam 2200469 450 001 9910585789603321 005 20231110223324.0 010 $a9783658386184$b(electronic bk.) 010 $z9783658386177 035 $a(MiAaPQ)EBC7052876 035 $a(Au-PeEL)EBL7052876 035 $a(CKB)24286018600041 035 $a(PPN)263900770 035 $a(EXLCZ)9924286018600041 100 $a20230106d2022 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aModeling time-varying unconditional variance by means of a free-knot spline-GARCH model /$fOliver Old 210 1$aWiesbaden, Germany :$cSpringer Gabler,$d[2022] 210 4$dİ2022 215 $a1 online resource (260 pages) 225 0 $aGabler theses 311 08$aPrint version: Old, Oliver Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model Wiesbaden : Springer Fachmedien Wiesbaden GmbH,c2022 9783658386177 320 $aIncludes bibliographical references. 327 $aIntro -- 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. 327 $aD.1 Simulation study: distribution of knot selection -- D.2 Simulation study: asymptotic distribution estimators -- D.3 Emprical study. 410 0$aGabler Theses 606 $aAnalysis of variance 606 $aSpline theory 615 0$aAnalysis of variance. 615 0$aSpline theory. 676 $a519.538 700 $aOld$b Oliver$01252288 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 912 $a9910585789603321 996 $aModeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model$92902963 997 $aUNINA