Modelling Stock Market Volatility
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Published By Elsevier

9780125982757

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

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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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

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

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