partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct …

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible … against time varying means and correlation of return data in parametric models and to obtain confidence bands for …

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …