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Nelson, Daniel B.
17
Bollerslev, Tim
1
Braun, Phillip A.
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Engle, Robert F.
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Foster, Dean P.
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Ramaswamy, Krishna
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Working paper series economics and econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
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5
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ECONIS (ZBW)
17
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Asymptotic filtering theory for multivariate ARCH models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000899156
Saved in:
2
Asymptotically optimal smoothing with ARCH models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000899157
Saved in:
3
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
;
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000899212
Saved in:
4
A note on the normalized errors in ARCH and stochastic volatility models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000899491
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5
Comment on Jacquier, Polson, and Rossi's Bayesian analysis of stochastic volatility models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000899492
Saved in:
6
ARCH models
Bollerslev, Tim
;
Engle, Robert F.
;
Nelson, Daniel B.
-
1993
Persistent link: https://www.econbiz.de/10000899195
Saved in:
7
A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B.
-
1990
-
Rev
Persistent link: https://www.econbiz.de/10000809491
Saved in:
8
Good news, bad news, volatility, and betas
Braun, Phillip A.
;
Nelson, Daniel B.
;
Sunier, Alain M.
-
1990
Persistent link: https://www.econbiz.de/10000809497
Saved in:
9
ARCH models as diffusion approximations
Nelson, Daniel B.
-
1990
-
Rev. version of WP 88-69
Persistent link: https://www.econbiz.de/10000811121
Saved in:
10
Simple binomial processes as diffusion approximations in financial models
Nelson, Daniel B.
;
Ramaswamy, Krishna
-
1990
Persistent link: https://www.econbiz.de/10000811122
Saved in:
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