Franses, Philip Hans; Paap, Richard; van der Leij, van … - Faculteit der Economische Wetenschappen, Erasmus … - 2001
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts (that is, periods with outliers) which differ in length and size. In this paper we put forward a new model which can describe and forecast the location and size of such level shifts. Our so...