A semiparametric approach to change-point analysis in volatility dynamics of financial data
One of the essential features of financial time series data is volatility. It is often the case that, over time, structural changes occur in volatility, and an accurate estimation of the volatility of financial time series requires careful identification of the change-points. A common approach to mo...
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| Language: | en_US |
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2021
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| Online Access: | https://hdl.handle.net/2144/43180 |