European University Institute Library
Nelson, Daniel B
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Nelson, Daniel B
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Nelson, Daniel B
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4
Arch models
ARCH models
Continuous record asymptotics for rolling sample variance estimators
Rolling regressions
Creator of
10
Asymptotically optimal smoothing with ARCH models
Estimating conditional variances with misspecified ARCH models, asymptotic theory
Filtering and forecasting with misspecified arch models II, making the right forecast with the wrong model
Asymptotic filtering theory for univariate arch models
Asymptotically optimal smoothing with ARCH models
A note on the normalized errors in ARCH and stochastic volatility models
Comment on Jacquier, Polson and Rossi's "Bayesian analysis of stochastic volatility models
Asymptotic filtering theory for multivariate ARCH models
Filtering and forecasting with misspecified ARCH models II, making the right forecast with the wrong model
Asymptotic filtering theory for multivariate ARCH models
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