Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
type: Item
instance of: scholarly article
title: Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
zbMATH Open document ID: 0820.62098
DOI: 10.1016/0304-4076(94)01635-D
author: Daniel B. Nelson
author: Dean P. Foster
published in: Journal of Econometrics
publication date: 1995-09-14T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 769901
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: smoothing
zbMATH Keywords: data-generalizing processes
zbMATH Keywords: stationary distributions
zbMATH Keywords: misspecified ARCH model
zbMATH Keywords: forecasting
zbMATH Keywords: conditional moments
zbMATH Keywords: diffusion model
zbMATH Keywords: options pricing
zbMATH Keywords: stochastic volatility model
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 769901