Asymptotic filtering theory for multivariate ARCH models
type: Item
instance of: scholarly article
title: Asymptotic filtering theory for multivariate ARCH models
zbMATH Open document ID: 0845.62080
DOI: 10.1016/0304-4076(94)01679-8
author: Daniel B. Nelson
published in: Journal of Econometrics
publication date: 1996-09-18T00:00:00Z
full work available at URL: t0162.pdf
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 889975
zbMATH Keywords: heteroskewticity
zbMATH Keywords: heterokurticity
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: stochastic volatility
zbMATH Keywords: diffusions
zbMATH Keywords: GARCH models
zbMATH Keywords: ARCH models
zbMATH Keywords: misspecification
zbMATH Keywords: general multivariate case
zbMATH Keywords: asymptotically optimal ARCH model
zbMATH Keywords: conditional variance
zbMATH Keywords: conditional beta
zbMATH Keywords: stock returns
zbMATH Keywords: time-varying shapes of conditional densities
describes a project that uses: GAUSS
describes a project that uses: Mathematica
MaRDI profile type: Publication
OpenAlex ID: W2116291172
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description: scientific article; zbMATH DE number 889975