Filtering and forecasting with misspecified ARCH models II : Making the right forecast with the wrong model

Asypmtotic Filtering Theory for Univariate Arch Models

Nelson, Daniel B., (1994)

Continuous Record Asymptotics for Rolling Sample Variance Estimators

Foster, Dean P., (1994)

Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model

Nelson, Daniel B., (1992)