Modelling Stock Market Volatility
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9780125982757

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ARCH Models as Diffusion Approximations**Reprinted with permission from Nelson, D. “ARCH Models as Diffusion Approximations” Journal of Econometrics 45 (1990), Elsevier Science SA, Lausanne, Switzerland.

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50006-5 ◽

1996 ◽

pp. 99-128

Author(s):

Daniel B. Nelson

Keyword(s):

Diffusion Approximations ◽

Arch Models

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Good News, Bad News, Volatility, and Betas

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50005-3 ◽

1996 ◽

pp. 65-96 ◽

Cited By ~ 3

Author(s):

Phillip A. Braun ◽

Daniel B. Nelson ◽

Alain M. Sunier

Keyword(s):

Bad News ◽

Good News

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Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model*

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50008-9 ◽

1996 ◽

pp. 157-191

Author(s):

Daniel B. Nelson ◽

Dean P. Foster

Keyword(s):

Arch Models ◽

The Right

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Continuous Record Asymptotics for Rolling Sample Variance Estimators*

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50011-9 ◽

1996 ◽

pp. 291-329

Author(s):

Dean P. Foster ◽

Daniel B. Nelson

Keyword(s):

Sample Variance ◽

Variance Estimators ◽

Continuous Record

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

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50007-7 ◽

1996 ◽

pp. 129-155 ◽

Cited By ~ 37

Author(s):

Daniel B. Nelson

Keyword(s):

Arch Models ◽

The Right

Download Full-text

Copyright

Modelling Stock Market Volatility ◽

10.1016/b978-0-12-598275-7.50018-1 ◽

1996 ◽

pp. iv

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Front matter

Modelling Stock Market Volatility ◽

10.1016/b978-0-12-598275-7.50017-x ◽

1996 ◽

pp. i-ii

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Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50004-1 ◽

1996 ◽

pp. 37-64

Author(s):

Daniel B. Nelson

Keyword(s):

Asset Returns ◽

Conditional Heteroskedasticity ◽

New Approach

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Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50003-x ◽

1996 ◽

pp. 17-35

Author(s):

Daniel B. Nelson

Keyword(s):

Cambridge University

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Asymptotic Filtering Theory for Univariate Arch Models*

Modelling Stock Market Volatility ◽

10.1016/b978-012598275-7.50009-0 ◽

1996 ◽

pp. 193-240

Author(s):

Daniel B. Nelson ◽

Dean P. Foster

Keyword(s):

Arch Models ◽

Filtering Theory

Download Full-text

Modelling Stock Market Volatility
Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Elsevier

ARCH Models as Diffusion Approximations**Reprinted with permission from Nelson, D. “ARCH Models as Diffusion Approximations” Journal of Econometrics 45 (1990), Elsevier Science SA, Lausanne, Switzerland.

Good News, Bad News, Volatility, and Betas

Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model*

Continuous Record Asymptotics for Rolling Sample Variance Estimators*

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

Copyright

Front matter

Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.

Stationarity and Persistence in the GARCH(1, 1) Model**From Econometric Theory6 (1990), 318–334, copyright © 1990. Reprinted with permission of Cambridge University Press.

Asymptotic Filtering Theory for Univariate Arch Models*

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Modelling Stock Market VolatilityLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Elsevier

ARCH Models as Diffusion Approximations**Reprinted with permission from Nelson, D. “ARCH Models as Diffusion Approximations” Journal of Econometrics 45 (1990), Elsevier Science SA, Lausanne, Switzerland.

Good News, Bad News, Volatility, and Betas

Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model*

Continuous Record Asymptotics for Rolling Sample Variance Estimators*

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

Copyright

Front matter

Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.

Stationarity and Persistence in the GARCH(1, 1) Model**From Econometric Theory6 (1990), 318–334, copyright © 1990. Reprinted with permission of Cambridge University Press.

Asymptotic Filtering Theory for Univariate Arch Models*

Modelling Stock Market Volatility
Latest Publications