Asymptotically Optimal Smoothing with Arch Models

DOI10.2307/2171861zbMath0906.62127OpenAlexW3124952591MaRDI QIDQ4883103

Daniel B. Nelson

Publication date: 5 August 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0161.pdf

zbMATH Keywords

smoothingstochastic volatilitynonlinear filteringmatrix Riccati equationsARCH model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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