Asymptotic Filtering Theory for Univariate Arch Models

DOI10.2307/2951474MaRDI QIDQ4284147zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(26)

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

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