Blar i Publikasjoner fra CRIStin - BI på emneord "ARCH models"
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Volatility Estimation When the Zero-Process is Nonstationary
(Journal article; Peer reviewed, 2021)Financial returns are frequently nonstationary due to the nonstationary distribution of zeros. In daily stock returns, for example, the nonstationarity can be due to an upwards trend in liquidity over time, which may lead ...