Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model (Q1893415)
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scientific article; zbMATH DE number 769901
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model |
scientific article; zbMATH DE number 769901 |
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Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model (English)
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14 September 1995
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nonlinear filtering
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smoothing
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data-generalizing processes
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stationary distributions
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misspecified ARCH model
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forecasting
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conditional moments
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diffusion model
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options pricing
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stochastic volatility model
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