To infinity and beyond : efficient computation of ARCH(∞) models

Morten Ørregaard Nielsen and Antoine L. Noël

Year of publication:	[2020]
Authors:	Nielsen, Morten Ørregaard ; Noël, Antoine L.
Publisher:	Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University
Subject:	Circular convolution theorem \| conditional heteroskedasticity \| fast Fourier transform \| FIGARCH \| truncation \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Heteroskedastizität \| Heteroscedasticity \| Optionspreistheorie \| Option pricing theory

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