Unformatted text preview: What would you suggest to do if you ﬁnd market departures from the assumption? Carry out your suggestions. Problem 2 This Problem considers possible parameter changes in ﬁtting regression and volatility mod-els to ﬁnancial time series. (1) Exercise 5.10. (2) Exercise 6.10. For your reference, these issues are discussed in section 9.5.2 of the book, which summarized two recent papers by Lai and Xing on the subject. 1...
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- Fall '09
- hard copy, Assumption of Mary, Lai, financial time series, STAT240 TEAM PROJECT, possible parameter changes