Browsing by Author "Subba Rao, S."
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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 ...