Semiparametric and nonparametric ARCH modeling
Linton, O.
(2009).
Semiparametric and nonparametric ARCH modeling.
In
Andersen, T. G., Davis, R. A., Kreiß, J. & Mikosch, T.
(Eds.),
Handbook of Financial Time Series
(pp. 157-167).
Springer Berlin / Heidelberg.
https://doi.org/10.1007/978-3-540-71297-8_6
This paper surveys nonparametric approaches to modelling discrete time volatility. We cover functional form, error shape, memory, and relationship between mean and variance.
| Item Type | Chapter |
|---|---|
| Copyright holders | © 2009 Springer |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD LSE > Research Centres > Financial Markets Group |
| DOI | 10.1007/978-3-540-71297-8_6 |
| Date Deposited | 03 May 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35808 |