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
Björk, T. (2009). An Overview of Interest Rate Theory. In Handbook of Financial Time Series (pp. 615–651). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_27
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