The University of Chicago Magazine August 1995:

Daniel B. Nelson, an associate professor of econometrics and finance in the GSB, died of lung cancer May 4 at Bernard Mitchell Hospital. He was 36. Interested in the causes of the Depression, he also worked with statistical models used to predict variability in financial data and taught classes in investments, applied business forecasting, and empirical methods in finance. A research fellow at the National Bureau of Economic Research, he was associate editor of both the Journal of Business and Economic Statistics and Review of Financial Studies. Survivors incude his wife, Therese Allen Nelson, manager of special projects for the University's administrative information systems; two sons; and a daughter.

Dan Nelson Remembered:

Dan's remarkable research legacy is summarized in the following survey by Tim Bollerslev and Peter E Rossi:

"Dan Nelson Remembered" by Bollerslev, Tim and Rossi, Peter E.

Pages: 361-64, Volume: 13, Month: October, Year: 1995 Issue: 4

Article published by the American Statistical Association in its journal: Journal of Business and Economic Statistics

...One chracterization of the ideal scholar is someone who identifies an important class of unresolved problems, sets about on a systematic attack on this set of problems, and after a period of time achieves closure on many if not all of the issues. This is a very good description of Dan's decade-long research agenda on autoregressive conditional heteroscedasticity (ARCH) models.

Dan started his research on ARCH models while a graduate student at MIT . It is important to recognize that he crafted this research agenda by himself and that emerged as one of the most prominent researchers indepedently of others in the field.

...Dan's first major contribution to the ARCH literature was the now classic exponential generalized ARCH (EGARCH) model originally developed in his 1988 MIT thesis and published in 1991 [6].