## Quantile Spectral Analysis for Locally Stationary Time Series

- Holger DETTE, Marc HALLIN, +7 authors Marc Hallinb
- 2014

We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further study of parameter estimation methods for the model. Since the parameters are changing over time, a successful estimator… (More)