• 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 ...