Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Subject "(G)ARCH models"

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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 ...