Bates, David S. - National Bureau of Economic Research (NBER) - 2009
processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration …This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy … substantial outliers occasionally observed in stock market returns. The paper also finds that the autocorrelation of stock market …