Asymptotic filtering theory for multivariate ARCH models (Q1915438): Difference between revisions

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Latest revision as of 12:44, 24 May 2024

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Asymptotic filtering theory for multivariate ARCH models
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    Asymptotic filtering theory for multivariate ARCH models (English)
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    18 September 1996
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    heteroskewticity
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    heterokurticity
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    nonlinear filtering
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    stochastic volatility
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    diffusions
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    GARCH models
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    ARCH models
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    misspecification
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    general multivariate case
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    asymptotically optimal ARCH model
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    conditional variance
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    conditional beta
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    stock returns
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    time-varying shapes of conditional densities
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