Asymptotic Filtering Theory for Univariate Arch Models (Q4284147)
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scientific article; zbMATH DE number 522732
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Asymptotic Filtering Theory for Univariate Arch Models |
scientific article; zbMATH DE number 522732 |
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Asymptotic Filtering Theory for Univariate Arch Models (English)
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19 January 1995
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stochastic volatility
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filtering
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misspecified ARCH-models
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estimation of conditional variances
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continuous record asymptotics
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measurement error
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efficiency
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asymptotically optimal ARCH conditional variance estimates
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0.96453923
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0.9021637
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0.88749516
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0.88577294
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0.88238126
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