Estimation of volatility using ARCH filters

MaRDI QIDQ5450019zbMATH OpenFDO

Authors E. Kulikova

Publication date 19 March 2008

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• Finite sample properties of the ARCH class of models with stochastic volatility
• Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
• Asymptotic filtering theory for multivariate ARCH models
• Real time estimation of stochastic volatility processes
• Approximating volatility diffusions with CEV-ARCH models

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