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
Čížek, P., & Spokoiny, V. (2009). Varying Coefficient GARCH Models. In Handbook of Financial Time Series (pp. 169–185). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_7
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