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
Paparoditis, E., & Politis, D. N. (2009). Resampling and Subsampling for Financial Time Series. In Handbook of Financial Time Series (pp. 983–999). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_42
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