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 e

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 e

A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an importa

Modern financial management is largely about risk management, which is increasingly data-driven. The problem is how to extract information from the data overloa