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
Full text not available from this repository.
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 |
| Divisions: | Economics STICERD 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: | 13 Sep 2024 17:06 |
| URI: | http://eprints.lse.ac.uk/id/eprint/35808 |
Actions (login required)
 |
View Item |
