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Semiparametric and Nonparametric ARCH Modeling · Study

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ChapterSemiparametric and Nonparametric ARCH Modeling

Oliver Linton2009

Chapter2009

Semiparametric and Nonparametric ARCH Modeling

26 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Behavior of Stock-Market Prices 1973An Intertemporal Capital Asset Pricing Model 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices

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2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1article · 15 shared references 1994Chapter 49 Arch modelschapter · 12 shared references 2009An Introduction to Univariate GARCH Modelschapter · 12 shared references 2009Semiparametric Estimator of Time Series Conditional Variancearticle · 12 shared references 1996The econometrics of financial marketsarticle · 11 shared references 1996Statistical aspects of ARCH and stochastic volatilitychapter · 11 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-540-71297-8_6

openalex_workW1511984511

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