Semiparametric and nonparametric ARCH modeling

Linton, Oliver (2009) Semiparametric and nonparametric ARCH modeling In: Handbook of Financial Time Series. Springer Berlin / Heidelberg, Berlin, Germany, pp. 157-167. ISBN 9783540712961
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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 Economics
STICERD
Financial Markets Group
DOI 10.1007/978-3-540-71297-8_6
Date Deposited 03 May 2011 11:15
URI https://researchonline.lse.ac.uk/id/eprint/35808

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