Researchers often employ ARCH models to estimate conditional variances and covariances. How successfully can misspecified ARCH models carry out this estimation? This paper employs continuous record asymptotics to approximate the distribution of the measurement error. This allows the authors to...

It is widely known that conditional covariances of asset returns change over time. Researchers doing empirical work have adopted many strategies for accommodating conditional heteroskedasticity. One popular strategy is performing rolling regressions in which only data from, say, the preceding...