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Andrew McClelland · Study

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Andrew McClelland

3 works· latest 2014· 1 institutionscluster: provisional

h-index3

i103

Citations221

Works here3

08

12

14

Most cited in this library

The jump component of S&P 500 volatility and the VIX index2008 · 143 citations
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data2014 · 54 citations
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions2012 · 24 citations

Works

3 shown

Estimating the Parameters of Stochastic Volatility Models Using Option Price Data

Journal of Business and Economic Statistics·2014·3 authors

54citations

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Journal of Econometrics·2012·3 authors·Open access

24citations

The jump component of S&P 500 volatility and the VIX index

Journal of Banking & Finance·2008·3 authors·Open access

143citations