Asymptotically Optimal Smoothing with Arch Models

DOI10.2307/2171861MaRDI QIDQ4883103zbMATH OpenOpenAlexFDO

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

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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Cited in

(9)

• scientific article; zbMATH DE number 2148871 (Why is no real title available?)
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• Filtering for some time series models by using transformation
• Influence of big traders on the stock market: theory and simulation
• American options with stochastic dividends and volatility: a nonparametric investigation
• The continuous-time limit of score-driven volatility models
• Temporal aggregation of volatility models
• Asymptotic Filtering Theory for Univariate Arch Models
• Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model

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