Asymptotically Optimal Smoothing with ARCH Models
收藏数据链接：
官方服务：
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
