Asymptotic filtering theory for multivariate ARCH models

Journal of Econometrics

Volumn 71, Issue 1-2, 1996, Pages 1-47

  Nelson, Daniel B ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

ARCH; Nonlinear filtering; Stochastic volatility

Indexed keywords

EID: 0002107902     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(94)01679-8     Document Type: Article

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