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Browsing ECO Articles by Author "PERRON, Pierre"
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Title:Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model
Author(s):LU, Yang K.; PERRON, PierreDate:2010Type of Publication:ArticleAbstract:We consider the estimation of a random level shift model for which the series of interest is the sum of a short-memory process and a jump or level shift component. For the latter component, we specify the commonly used ...