Skip to main content
Article thumbnail
Location of Repository

Semiparametric and nonparametric ARCH modeling

By Oliver Linton

Abstract

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
OAI identifier: oai:eprints.lse.ac.uk:35808
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.springer.com (external link)
  • http://eprints.lse.ac.uk/35808... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.