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
Jungbacker, B., & Koopman, S. J. (2009). Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility. In Handbook of Financial Time Series (pp. 313–344). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_13
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