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ARCH models as diffusion approximations

Journal of Econometrics · 1990 · Vol. 45(1-2) · pp. 7–38

Daniel B. Nelson✉(University of Chicago)

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Fractional Differential Equations SolutionsArchMathematicsExponential functionLog-normal distributionStochastic differential equationAutoregressive conditional heteroskedasticityApplied mathematicsDiffusionMathematical analysisStatistical physics

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References

Expected stock returns and volatility

Journal of Financial Economics · 1987 · 4,255 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Econometrica · 1982 · 20,395 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

Econometrica · 1991 · 10,302 citations

Generalized autoregressive conditional heteroskedasticity

Journal of Econometrics · 1986 · 22,015 citations

Markov Processes: Characterization and Convergence.

Biometrics · 1987 · 4,456 citations

An Intertemporal Capital Asset Pricing Model

Econometrica · 1973 · 6,715 citations

Option pricing: A simplified approach

Journal of Financial Economics · 1979 · 6,164 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Econometrica · 1973 · 2,826 citations

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