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
Lindner, A. M. (2009). Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes. In Handbook of Financial Time Series (pp. 43–69). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_2
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