Obituary: Daniel Nelson, GSB

Daniel B. Nelson, Associate Professor in the Graduate School of Business and a Hyde Park resident, died of lung cancer May 4 at the Hospitals. He was 36.

Nelson joined the University faculty in 1988 after receiving his Ph.D. in economics from MIT. He devoted his career to constructing and improving models for predicting future variability in financial data. He also studied the origins of the Great Depression.

The recipient of many academic honors and grants, Nelson was a faculty research fellow at the prestigious National Bureau of Economic Research at the time of his death. He also was serving as associate editor of both the Journal of Business and Economic Statistics and the Review of Financial Studies.

"Dan loved his research and teaching with the same fierce intensity that he loved his family," said Robert Hamada, Dean of the GSB. "He was a well-respected teacher who always scored high in ratings from students."

Nelson taught M.B.A. and Ph.D. classes in investments, applied business forecasting, econometrics and empirical methods in finance.

A popular speaker at academic workshops and conferences, he made more than 70 speaking appearances throughout the United States during the past seven years.

In addition to his research on models of time-varying asset volatility and on the Great Depression, he studied binomial options and bond pricing models. His research in progress included "Forecasting Returns Volatility With Statistical Models" and "Interpreting Chi-Square Tests in Asset Pricing Models."

Nelson was a member of the American Economic Association, the American Finance Association and the American Statistical Association. He was also affiliated with the Economic Society, the Institute of Mathematical Statistics and the Society for Financial Studies.

He received two consecutive research grants from the National Science Foundation, in 1991 and 1993. The most recent grant enabled him to do research measuring risk in financial asset markets.

A prolific author, Nelson wrote dozens of academic articles dealing with financial and econometric topics, and his research appeared in many of the field's leading publications. In addition, he served as a referee for 23 academic journals, including the American Economic Review and the Journal of Finance.

He is survived by his wife, Therese Allen Nelson, Manager of Special Projects for Administrative Information Systems, and their three children, Carolyn, Scott and Allen.