Parcourir Faculté des arts et des sciences – Département de sciences économiques par sujet "one-sided windows"
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Jumps in the Volatility of Financial Markets
(Université de Montréal. Département de sciences économiques., 1999)Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and ...