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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.; 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