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Semiparametric and nonparametric ARCH modeling

Linton, Oliver (2009) Semiparametric and nonparametric ARCH modeling. In: Andersen, Torben G., Davis, Richard A., Kreiß, Jems-Peter and Mikosch, Thomas, (eds.) Handbook of Financial Time Series. Springer Berlin / Heidelberg, Berlin, Germany, pp. 157-167. ISBN 9783540712961

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Identification Number: 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: Book Section
Official URL:
Additional Information: © 2009 Springer
Divisions: Economics
Financial Markets Group
Subjects: H Social Sciences > HG Finance
JEL classification: G - Financial Economics > G0 - General > G00 - General
Date Deposited: 03 May 2011 11:15
Last Modified: 15 Sep 2023 09:33

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