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Asymptotic filtering theory for univariate ARCH models. (English) Zbl 0804.62085
The paper deals with estimation of conditional variances with (misspecified) ARCH-models. It employs continuous record asymptotics to approximate the distribution of the measurement error. This allows to compare the efficiency of various ARCH-models, characterize the impact of different kinds of misspecification on efficiency, and to characterize asymptotically optimal ARCH conditional variance estimates.
Reviewer: J.Wolters (Berlin)

MSC:
62M20 Inference from stochastic processes and prediction
62P20 Applications of statistics to economics
91B62 Economic growth models
91B84 Economic time series analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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