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
Aït-Sahalia, Y., & Mykland, P. A. (2009). Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations. In Handbook of Financial Time Series (pp. 577–598). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_25
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
Already have an account? Sign in
Sign up for free