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
Linton, O. B. (2009). Semiparametric and Nonparametric ARCH Modeling. In Handbook of Financial Time Series (pp. 157–167). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_6
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