Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model
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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
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美国国家经济研究局创建时间：
1992-12-01
