Asymptotically Optimal Smoothing with Arch Models

DOI10.2307/2171861zbMATH Open0906.62127OpenAlexW3124952591MaRDI QIDQ4883103FDOQ4883103

Authors: Daniel B. Nelson 

Publication date: 5 August 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0161.pdf

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zbMATH Keywords

smoothingstochastic volatilitymatrix Riccati equationsnonlinear filteringARCH model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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• American options with stochastic dividends and volatility: a nonparametric investigation
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• Temporal aggregation of volatility models
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• Asymptotic Filtering Theory for Univariate Arch Models
• Title not available (Why is that?)

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