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
Chan, N. H. (2009). Time Series with Roots on or Near the Unit Circle. In Handbook of Financial Time Series (pp. 695–707). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_30
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