Asymptotic filtering theory for multivariate ARCH models-Reference-Cited by-同舟云学术

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Asymptotic filtering theory for multivariate ARCH models

Published:1996-03 Issue:1-2 Volume:71 Page:1-47
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Nelson Daniel B.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference85 articles.

1. Volatility;Andersen,1992

2. Second-order convergent algorithms for the steady state Riccati equation;Anderson;International Journal of Control,1978

3. Linear optimal control;Anderson,1971

4. Optimal filtering;Anderson,1979

5. An introduction to multivariate statistical analysis;Anderson,1984

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