Asypmtotic Filtering Theory for Univariate Arch Models
收藏NBER1994-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0129
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资源简介：
This paper builds on this earlier work by deriving the asymptotic distribution of the measurement error. This allows us to approximate the measurement accuracy of ARCH conditional variance estimates and compare the efficiency achieved by different ARCH models. We are also able to characterize the
提供机构：
美国国家经济研究局
创建时间：
1994-04-01
