Asymptotic filtering theory for multivariate ARCH models (Q1915438)
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scientific article; zbMATH DE number 889975
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic filtering theory for multivariate ARCH models |
scientific article; zbMATH DE number 889975 |
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Asymptotic filtering theory for multivariate ARCH models (English)
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18 September 1996
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heteroskewticity
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heterokurticity
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nonlinear filtering
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stochastic volatility
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diffusions
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GARCH models
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ARCH models
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misspecification
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general multivariate case
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asymptotically optimal ARCH model
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conditional variance
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conditional beta
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stock returns
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time-varying shapes of conditional densities
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