STAT244.Lecture.02 7

STAT244.Lecture.02 7 - I Volatility Clustering I Strong...

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Asymmetry and Volatility Clustering I Asymmetry I Response to positive returns is generally smaller than that of negative returns. I How do we test this?
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Unformatted text preview: I Volatility Clustering I Strong autocorrelations in | r t | and in r 2 t . I Asymptotic condence intervals are wider for heavy-tails....
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