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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000934888
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Asymptotic filtering theory for univariate arch models
Nelson, Daniel B. - In: Econometrica : journal of the Econometric Society, an … 62 (1994) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10001169514
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Filtering and forecasting with misspecified ARCH models II : making the right forecast with the wrong model
Nelson, Daniel B. - In: Journal of econometrics 67 (1995) 2, pp. 303-335
Persistent link: https://www.econbiz.de/10001178181
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
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Asymptotic filtering theory for univariate ARCH models
Nelson, Daniel B.; Foster, Dean P. - 1992
Persistent link: https://www.econbiz.de/10000849715
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Filtering and forecasting with misspecified ARCH models II : making the right forecast with the wrong model
Nelson, Daniel B.; Foster, Dean P. - 1992
Persistent link: https://www.econbiz.de/10000849719
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000899212
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A martingale test for alpha
Foster, Dean P. (contributor); Stine, Robert A. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003790703
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A Markov test for alpha
Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011
Persistent link: https://www.econbiz.de/10009303237
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A Markov test for alpha
Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011
Persistent link: https://www.econbiz.de/10009349550