误设ARCH模型下的滤波与预测I:用错误模型得到正确方差

Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*

Journal of Econometrics · 1996
被引 260
人大 AABS 4
计量经济学金融波动率建模时间序列分析ARCH模型