Abstract
This paper surveys nonparametric approaches to modelling discrete time volatility. We cover functional form, error shape, memory, and relationship between mean and variance.
Cite
CITATION STYLE
APA
Renault, E. (2009). Moment–Based Estimation of Stochastic Volatility Models. In Handbook of Financial Time Series (pp. 269–311). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_12
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