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
Hurvich, C. M., & Soulier, P. (2009). Stochastic Volatility Models with Long Memory. In Handbook of Financial Time Series (pp. 345–354). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_14
Mendeley helps you to discover research relevant for your work.