This paper surveys nonparametric approaches to modelling discrete time volatility. We cover functional form, error shape, memory, and relationship between mean and variance.
CITATION STYLE
Davis, R. A., & Mikosch, T. (2009). Extremes of Stochastic Volatility Models. In Handbook of Financial Time Series (pp. 355–364). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_15
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