D
Daniel B. Nelson
Researcher at University of Chicago
Publications - 35
Citations - 15960
Daniel B. Nelson is an academic researcher from University of Chicago. The author has contributed to research in topics: Conditional variance & Arch. The author has an hindex of 20, co-authored 35 publications receiving 15159 citations.
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Journal ArticleDOI
Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
Journal ArticleDOI
Stationarity and Persistence in the GARCH(1,1) Model
TL;DR: In this article, necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(l.l) process were established, and it was shown that the IGARCH(1,1) process with no drift converges almost surely to zero.
Journal ArticleDOI
ARCH models as diffusion approximations
TL;DR: In this paper, the authors investigated the convergence of stochastic difference equations (e.g., ARCH) to stochastically differential equations as the length of the discrete time intervals between observations goes to zero, and developed a class of diffusion approximations based on the exponential ARCH model.
Book ChapterDOI
Chapter 49 Arch models
TL;DR: This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances and contains a discussion of the empirical regularities pertaining to the temporal variation in financial market volatility.
Journal ArticleDOI
Inequality Constraints in the Univariate GARCH Model
Daniel B. Nelson,Charles Cao +1 more
TL;DR: In this paper, Bollerslev et al. show that these constraints can be substantially weakened and so should not be imposed in estimation, and provide empirical examples illustrating the importance of relaxing these constraints.