Paap, Richard; Franses, Philip Hans; Leij, Marco Van Der - In: Journal of Applied Econometrics 17 (2002) 5, pp. 601-616
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic Censored Latent Effects Autoregressive [CLEAR] model, such that it can describe and forecast the location and size of such...