The following pages link to Daniel B. Nelson (Q1185105):
Displayed 8 items.
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106) (← links)
- Vector attenuation bias in the classical errors-in-variables model (Q1352219) (← links)
- Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model (Q1893415) (← links)
- Asymptotic filtering theory for multivariate ARCH models (Q1915438) (← links)
- ARCH models as diffusion approximations (Q2640240) (← links)
- Conditional Heteroskedasticity in Asset Returns: A New Approach (Q3210032) (← links)
- Asymptotic Filtering Theory for Univariate Arch Models (Q4284147) (← links)
- Asymptotically Optimal Smoothing with Arch Models (Q4883103) (← links)