Asymptotic filtering theory for multivariate ARCH models
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Publication:1915438
DOI10.1016/0304-4076(94)01679-8zbMath0845.62080MaRDI QIDQ1915438
Publication date: 18 September 1996
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0162.pdf
stochastic volatility; nonlinear filtering; ARCH models; diffusions; stock returns; misspecification; conditional variance; GARCH models; asymptotically optimal ARCH model; conditional beta; general multivariate case; heterokurticity; heteroskewticity; time-varying shapes of conditional densities
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
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