Filtering and forecasting with misspecified ARCH models II : Making the right forecast with the wrong model

A-Tier

Journal: Journal of Econometrics

Year: 1995

Volume: 67

Issue: 2

Pages: 303-335

Authors (2)

Nelson, Daniel B. (not in RePEc) Foster, Dean P. (University of Pennsylvania)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count