Davies, Laurie; Höhenrieder, Christian; Krämer, Walter - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3623-3631
Returns of risky assets are often modelled as the product of a volatility function and standard Gaussian white noise. Long range data cannot be adequately approximated by simple parametric models. The choice is between retaining simple models and segmenting the data, or to use a non-parametric...