Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P. - Sonderforschungsbereich 373, Quantifikation und … - 1998
dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the … mean. For the volatility function, i.e., the conditional variance given the past, a multiplicative structure is more …