Now showing items 1-1 of 1

    • Fourier methods for analyzing piecewise constant volatilities 

      Wornowizki, Max; Meintanis, Simos G.; Fried, Roland (Springer, 2017)
      We develop procedures for testing whether a sequence of independent random variables has constant variance. If this is fulfilled, the modulus of a Fourier-type transformation of the volatility process is identically equal ...