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Semiparametric and nonparametric ARCH modeling

By Oliver Linton


This paper surveys nonparametric approaches to modelling discrete time volatility. We cover functional form, error shape, memory, and relationship between mean and variance

Topics: HG Finance
Publisher: Springer
Year: 2009
DOI identifier: 10.1007/978-3-540-71297-8_6
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Provided by: LSE Research Online
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