Asymptotic Filtering Theory for Multivariate ARCH Models
收藏NBER1994-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0162
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资源简介：
ARCH models are widely used to estimate conditional variances and covariances in financial time series models. How successfully can ARCH models carry out this estimation when they are misspecified? How can ARCH models be optimally constructed? Nelson and Foster (1994) employed continuous record
提供机构：
美国国家经济研究局
创建时间：
1994-08-01
