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Semiparametric and nonparametric ARCH modeling

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

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Identification Number: 10.1007/978-3-540-71297-8_6

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
Subjects: H Social Sciences > HG Finance
JEL classification: 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)
Date Deposited: 03 May 2011 11:15
Last Modified: 30 May 2014 13:56
URI: http://eprints.lse.ac.uk/id/eprint/35808

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