Asymptotic filtering theory for multivariate ARCH models

DOI10.1016/0304-4076(94)01679-8zbMath0845.62080OpenAlexW2116291172MaRDI QIDQ1915438

Daniel B. Nelson

Publication date: 18 September 1996

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

Full work available at URL: http://www.nber.org/papers/t0162.pdf

zbMATH Keywords

stochastic volatilitynonlinear filteringARCH modelsdiffusionsstock returnsmisspecificationconditional varianceGARCH modelsasymptotically optimal ARCH modelconditional betageneral multivariate caseheterokurticityheteroskewticitytime-varying shapes of conditional densities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (5)

WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ American options with stochastic dividends and volatility: a nonparametric investigation ⋮ Approximating volatility diffusions with CEV-ARCH models ⋮ Conditional higher order moments in metal asset returns ⋮ Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Uses Software

• GAUSS
• Mathematica

Cites Work

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