Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model
收藏NBER1992-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0132
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A companion paper (Nelson (1992)) showed that in data observed at high frequencies, an ARCH model may do a good job at estimating conditional variances, even when the ARCH model is severely misspecified. While such models may perform reasonably well at filtering (i.e., at estimating unobserved
提供机构：
美国国家经济研究局
创建时间：
1992-12-01
