Asymptotic Filtering Theory for Univariate Arch Models

DOI10.2307/2951474zbMATH Open0804.62085OpenAlexW4252714669MaRDI QIDQ4284147FDOQ4284147

Authors: Daniel B. Nelson, Dean P. Foster 

Publication date: 19 January 1995

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951474

Recommendations

• Asymptotic filtering theory for multivariate ARCH models
• Estimation and asymptotic inference in the AR-ARCH model
• Asymptotic inference of unstable periodic ARCH processes
• Asymptotic inference for periodic ARCH processes
• Asymptotically Optimal Smoothing with Arch Models
• scientific article; zbMATH DE number 5846682
• Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case

zbMATH Keywords

measurement errorefficiencyfilteringstochastic volatilityasymptotically optimal ARCH conditional variance estimatescontinuous record asymptoticsestimation of conditional variancesmisspecified ARCH-models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Economic growth models (91B62)

Cited In (26)

• Approximating volatility diffusions with CEV-ARCH models
• Closing the GARCH gap: Continuous time GARCH modeling
• Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
• Influence of big traders on the stock market: theory and simulation
• Asymptotic filtering theory for multivariate ARCH models
• Weak convergence and distributional assumptions for a general class of nonliner arch models
• Assessing the bias of maximum likelihood estimates of contaminated garch models
• Weak diffusion limits of dynamic conditional correlation models
• Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
• Volume, volatility, and leverage: A dynamic analysis
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Asymmetric filters in correlated ARIMA components
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
• Integrated variance forecasting: model based vs. reduced form
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
• American options with stochastic dividends and volatility: a nonparametric investigation
• The continuous-time limit of score-driven volatility models
• Observation-driven filtering of time-varying parameters using moment conditions
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Estimation of volatility using ARCH filters
• Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
• Temporal aggregation of volatility models
• Estimation of stochastic volatility in the Hull-White model
• Linear filtering for asymmetric stochastic volatility models
• Range reliability in random walks
• Fractionally integrated generalized autoregressive conditional heteroskedasticity

This page was built for publication: Asymptotic Filtering Theory for Univariate Arch Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4284147)