Clemencon, Stephan; Slim, Skander - In: Quantitative Finance 4 (2004) 2, pp. 208-220
The aim of this paper is to apply a nonparametric methodology developed by Donoho et al(2003 IEEE Trans. Signal Processing53614-27) for estimating an autocovariance sequence to the statistical analysis of the return of securities and discuss the advantages offered by this approach over other...