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Unformatted text preview: What would you suggest to do if you nd market departures from the assumption? Carry out your suggestions. Problem 2 This Problem considers possible parameter changes in tting regression and volatility mod-els to nancial 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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This document was uploaded on 11/08/2009.
- Fall '09