Semiparametric and Nonparametric ARCH Modeling

Oliver Linton

Chapter 6 in Handbook of Financial Time Series, 2009, pp 157-167 from Springer

Abstract: Abstract This paper surveys nonparametric approaches to modelling discrete time volatility. We cover functional form, error shape, memory, and relationship between mean and variance.

Keywords: Conditional Variance; GARCH Model; Stochastic Volatility Model; Financial Time Series; Volatility Function (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_6

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DOI: 10.1007/978-3-540-71297-8_6

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