Asymptotically Optimal Smoothing with Arch Models (Q4883103)
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scientific article; zbMATH DE number 894890
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Asymptotically Optimal Smoothing with Arch Models |
scientific article; zbMATH DE number 894890 |
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Asymptotically Optimal Smoothing with Arch Models (English)
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5 August 1996
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nonlinear filtering
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smoothing
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stochastic volatility
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matrix Riccati equations
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ARCH model
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0.8192875981330872
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0.8161925673484802
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0.7997680306434631
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