Semiparametric and Nonparametric ARCH Modeling

DOI10.1007/978-3-540-71297-8_6zbMATH Open1178.91162OpenAlexW1511984511MaRDI QIDQ3646952FDOQ3646952

Authors: Oliver Linton 

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_6

zbMATH Keywords

semiparametricGARCHnonparametriclong memorydiscrete time volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (4)

• Nonparametric volatility prediction
• Semi- and nonparametric ARCH processes
• Spline estimation of a semiparametric GARCH model
• A Class of Nonlinear Arch Models

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