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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

Continuous record asymptotics for rolling sample variance estimators

Foster, Dean P.; Nelson, Daniel B. - 1994

Persistent link: https://www.econbiz.de/10000934888

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

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

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

Asymptotic filtering theory for univariate ARCH models

Nelson, Daniel B.; Foster, Dean P. - 1992

Persistent link: https://www.econbiz.de/10000849715

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

Asypmtotic Filtering Theory for Univariate Arch Models

Nelson, Daniel B.; Foster, Dean P. - 2021

This paper builds on this earlier work by deriving the asymptotic distribution of the measurement error. This allows us to approximate the measurement accuracy of ARCH conditional variance estimates and compare the efficiency achieved by different ARCH models. We are also able to characterize...

Persistent link: https://www.econbiz.de/10013229003

A Markov test for alpha

Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011

Persistent link: https://www.econbiz.de/10009349550

A Markov test for alpha

Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011

Persistent link: https://www.econbiz.de/10009303237