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On the stability of some replication variance estimators in the linear case

✍ Scribed by Daniel Krewski


Publisher
Elsevier Science
Year
1978
Tongue
English
Weight
631 KB
Volume
2
Category
Article
ISSN
0378-3758

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## Abstract Volatility models such as GARCH, although misspecified with respect to the data‐generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However,