Cookies?
Library Header Image
LSE Research Online LSE Library Services

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, Germany, pp. 157-167. ISBN 9783540712961

Full text not available from this repository.

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/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 03 May 2011 11:15
URL: http://eprints.lse.ac.uk/35808/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only