Asymptotic Filtering Theory for Univariate Arch Models

DOI10.2307/2951474zbMath0804.62085OpenAlexW4252714669MaRDI QIDQ4284147

Daniel B. Nelson, Dean P. Foster

Publication date: 19 January 1995

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951474

zbMATH Keywords

stochastic volatilityefficiencyfilteringmeasurement errorasymptotically optimal ARCH conditional variance estimatescontinuous record asymptoticsestimation of conditional variancesmisspecified ARCH-models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

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