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Implement a rolling-window based imputation function #2

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dppalomar opened this issue Jul 11, 2020 · 0 comments
Open

Implement a rolling-window based imputation function #2

dppalomar opened this issue Jul 11, 2020 · 0 comments

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@dppalomar
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Due to volatility clustering, the variance changes over time and it might be more realistic to implement a rollowing-window approach to fitting+imputation.
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@dppalomar