Browsing by Author "Fryzlewicz, P."

Now showing items 1-2 of 2

    • Article  

      A Haar-Fisz technique for locally stationary volatility estimation 

      Fryzlewicz, P.; Sapatinas, Theofanis; Rao, S. S. (2006)
      We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact ...
    • Article  

      Normalized least-squares estimation in time-varying arch models 

      Fryzlewicz, P.; Sapatinas, Theofanis; Subba Rao, S. (2008)
      We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants ...