Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model

DOI10.1016/0304-4076(94)01635-DzbMath0820.62098MaRDI QIDQ1893415

Dean P. Foster, Daniel B. Nelson

Publication date: 14 September 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

smoothingnonlinear filteringconditional momentsforecastingdiffusion modelstationary distributionsstochastic volatility modeloptions pricingmisspecified ARCH modeldata-generalizing processes

Mathematics Subject Classification ID

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

Related Items (5)

Asymptotic filtering theory for multivariate ARCH models ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns ⋮ Integrated variance forecasting: model based vs. reduced form ⋮ GARCH Model Estimation Using Estimated Quadratic Variation

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asymptotic Filtering Theory for Univariate Arch Models
• Continuous Record Asymptotics for Rolling Sample Variance Estimators

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