Asymptotically Optimal Smoothing with ARCH Models
收藏NBER1994-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0161
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资源简介：
Suppose an observed time series is generated by a stochastic volatility model-i.e., there is an unobservable state variable controlling the volatility of the innovations in the series. As shown by Nelson (1992), and Nelson and Foster (1994), a misspecified ARCH model will often be able to
提供机构：
美国国家经济研究局
创建时间：
1994-08-01
