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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, 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: Book Section
Official URL:
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)
Date Deposited: 03 May 2011 11:15

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