Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
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Publication:1185106
DOI10.1016/0304-4076(92)90065-YzbMath0761.62169OpenAlexW3020961569MaRDI QIDQ1185106
Publication date: 28 June 1992
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(92)90065-y
robustnessconsistencydiffusion processspecification biasconditional covariance matrixautoregressive conditional heteroscedastic modelconditional second momentsforecasting powermisspecified ARCH modeltime-varying conditional variances
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