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Volumn 64, Issue 3, 1996, Pages 561-573

Asymptotically optimal smoothing with ARCH models

(1)  Nelson, Daniel B a  

a NONE

Author keywords

ARCH; Nonlinear filtering; Smoothing; Stochastic volatility

Indexed keywords

ARCH MODEL; NON LINEAR FILTERING; OPTIMAL FILTERING; SMOOTHING;

EID: 0030363053     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171861     Document Type: Article
Times cited : (16)

References (18)
  • 2
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    • _ (1979): Optimal Filtering. Englewood Cliffs, NJ: Prentice Hall.
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  • 4
    • 34848900983 scopus 로고
    • ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence
    • BOLLERSLEV, T., R. Y. CHOU, AND K. KRONER (1992): "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," Journal of Econometrics, 52, 5-60
    • (1992) Journal of Econometrics , vol.52 , pp. 5-60
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.3
  • 6
    • 0030360244 scopus 로고
    • Continuous Record Asymptotics for Rolling Sample Variance Estimators
    • FOSTER, D. P., AND D. B. NELSON (1995): "Continuous Record Asymptotics for Rolling Sample Variance Estimators," Econometrica, 64, 139-174.
    • (1995) Econometrica , vol.64 , pp. 139-174
    • Foster, D.P.1    Nelson, D.B.2
  • 9
    • 0002148462 scopus 로고
    • Central Limit Theorems for Martingales with Discrete or Continuous Time
    • HELLAND, I. S. (1982): "Central Limit Theorems for Martingales with Discrete or Continuous Time," Scandinavian Journal of Statistics, 9, 79-94.
    • (1982) Scandinavian Journal of Statistics , vol.9 , pp. 79-94
    • Helland, I.S.1
  • 10
    • 84977709229 scopus 로고
    • The Pricing of Options on Assets with Stochastic Violatilities
    • HULL, J., AND A. WHITE (1987): "The Pricing of Options on Assets with Stochastic Violatilities," Journal of Finance, 42, 281-300.
    • (1987) Journal of Finance , vol.42 , pp. 281-300
    • Hull, J.1    White, A.2
  • 14
    • 44049123033 scopus 로고
    • Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model
    • NELSON, D. B. (1992): "Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model," Journal of Econometrics, 25, 61-90.
    • (1992) Journal of Econometrics , vol.25 , pp. 61-90
    • Nelson, D.B.1
  • 16
    • 0002447828 scopus 로고
    • Asymptotic Filtering Theory for Univariate ARCH Models
    • NELSON, D. B., AND D. P. FOSTER (1994): "Asymptotic Filtering Theory for Univariate ARCH Models," Econometrica, 62, 1-41.
    • (1994) Econometrica , vol.62 , pp. 1-41
    • Nelson, D.B.1    Foster, D.P.2
  • 17
    • 0003164560 scopus 로고
    • Positive-Definite Matrices and Their Role in the Study of the Characteristic Roots of Genera Matrices
    • TAUSSKY, O. (1968): "Positive-Definite Matrices and Their Role in the Study of the Characteristic Roots of Genera] Matrices," Advances in Mathematics, 2, 175-186.
    • (1968) Advances in Mathematics , vol.2 , pp. 175-186
    • Taussky, O.1
  • 18
    • 45949112947 scopus 로고
    • Option Values under Stochastic Volatility: Theory and Empirical Estimates
    • WIGGINS, J. B. (1987): "Option Values under Stochastic Volatility: Theory and Empirical Estimates," Journal of Financial Economics, 19, 351-372.
    • (1987) Journal of Financial Economics , vol.19 , pp. 351-372
    • Wiggins, J.B.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.