15
Locally time homogeneous time series modeling
15.1
Intervals of homogeneity
15.2
Estimating the coefficients of an exchange rate basket
15.3
Estimating the volatility of financial time series
15.3.1
The standard approach
15.3.2
The locally time homogeneous approach
15.3.3
Modeling volatility via power transformation
15.3.4
Adaptive estimation under local time-homogeneity
15.4
Technical appendix
Bibliography