We revisit the problem of computing optimal spline approximations for univariate least-squares splines from a … experiments show that our approach to tackle the least-squares spline approximation problem with free knots is able to compute …

specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a … natural cubic spline. This flexible approach nests the Gaussian density as a special case. It can also represent asymmetric …

specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a … natural cubic spline. This flexible approach nests the Gaussian density as a special case. It can also represent asymmetric …

, including Nearest-Neighbor, spline, and Nelson-Siegel interpolation. Using the new methodology, we construct the full history of …

, including Nearest-Neighbor, spline, and Nelson-Siegel interpolation. Using the new methodology, we construct the full history of …

Introduction -- Financial time series -- Smoothing long term volatility -- 4 Free-knot spline-GARCH model -- Simulation …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 …