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ARCH models as diffusion approximations

1990957 citationsJournal Article

Authors

Daniel B. Nelson · University of Chicago

Topics & Keywords

Stochastic processes and financial applications Financial Risk and Volatility Modeling Fractional Differential Equations Solutions

Publication Details

Published in: Journal of Econometrics

Volume 45, Issue 1-2, pp. 7-38

DOI: 10.1016/0304-4076(90)90092-8

Field-Weighted Citation Impact: 23.63

ARCH models as diffusion approximations | Researchclopedia