Aggregations and Marginalization of Garch and Stochastic Volatility Models
The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept: conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set witout invalidating the model.
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|Date of creation:||1996|
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- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
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- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
- Hansen, Lars Peter & Singleton, Kenneth J, 1996.
"Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(1), pages 53-68, January.
- Lars Peter Hansen & Kenneth J. Singleton, 1997. "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors," NBER Technical Working Papers 0086, National Bureau of Economic Research, Inc.
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