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
Sørensen, M. (2009). Parametric Inference for Discretely Sampled Stochastic Differential Equations. In Handbook of Financial Time Series (pp. 531–553). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_23
Mendeley helps you to discover research relevant for your work.