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, Germany, pp. 157-167. ISBN 9783540712961
Abstract
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: | http://www.springer.com |
| Additional Information: | © 2009 Springer |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Journal of Economic Literature Classification System: | G - Financial Economics > G0 - General > G00 - General |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Research centres and groups > Financial Markets Group (FMG) |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/35808/ |
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