The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
ARCH models as diffusion approximations
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Convergence of Probability Measures
Billingsley, P. (1999) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316962 · Cited by 13,910
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Self-citationConvergence of Probability Measures
Kingman, J. F. C., & Billingsley, P. (1969) · Revue de l'Institut International de Statistique / Review of the International Statistical Institute · doi:10.2307/1402124 · Cited by 6,812
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
Option pricing: A simplified approach
Cox, J. C., Ross, S. A., & Rubinstein, M. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90015-1 · Cited by 6,083
Spectral Analysis and Time Series
Preston, D. B. (1983) · Technometrics · doi:10.1080/00401706.1983.10487866 · Cited by 5,011
Markov Processes: Characterization and Convergence.
Abakuks, A., Ethier, S. N., & Kurtz, T. G. (1987) · Biometrics · doi:10.2307/2531839 · Cited by 4,233
Irreversibility, Uncertainty, and Cyclical Investment
Bernanke, B. S. (1983) · The Quarterly Journal of Economics · doi:10.2307/1885568 · Cited by 4,112
Cited by
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
BATES, D. S. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb03775.x · Cited by 874
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY
Silvestrini, A., & Veredas, D. (2008) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2007.00538.x · Cited by 348
Option valuation with conditional skewness
Christoffersen, P., Heston, S., & Jacobs, K. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.01.010 · Cited by 281
Metadata
- Authors
- Nelson, D. B.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1990-07
- Volume
- 45
- Issue
- 1-2
- Pages
- 7-38
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1994177366
- Cited by
- 938
- References
- 23
- FWCI
- 24.59
- Type
- journal article
- Language
- en
- Open access
- closed
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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- CoChat. (2026). Citation check: ARCH models as diffusion approximations. https://app.cochat.ai/papers/10.1016/0304-4076(90)90092-8
- The paper
- Nelson, D. B. (1990). ARCH models as diffusion approximations. Journal of Econometrics. https://doi.org/10.1016/0304-4076(90)90092-8
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
