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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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Asymptotically optimal smoothing with ARCH models
Nelson, Daniel B. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 3, pp. 561-573
Persistent link: https://www.econbiz.de/10001199898
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10001101893