Asymptotic Filtering Theory for Multivariate ARCH Models
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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
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美国国家经济研究局创建时间：
1994-08-01
