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David S. Bates · Study

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David S. Bates

17 works· latest 2022· 3 institutionscluster: provisional

h-index17

i1017

Citations6,610

Works here17

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Most cited in this library

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options1996 · 2,272 citations
Post-'87 crash fears in the S&P 500 futures option market2000 · 1,417 citations
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets1991 · 874 citations
Empirical option pricing: a retrospection2003 · 343 citations
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options1993 · 303 citations

Works

17 shown

Empirical Option Pricing Models

Annual Review of Financial Economics·2022·1 author·review

25citations

How Crashes Develop: Intradaily Volatility and Crash Evolution

The Journal of Finance·2018·1 author·Open access

50citations

U.S. stock market crash risk, 1926–2010

Journal of Financial Economics·2012·1 author

116citations

The market for crash risk

Journal of Economic Dynamics and Control·2007·1 author

188citations

Maximum Likelihood Estimation of Latent Affine Processes

Review of Financial Studies·2006·1 author

258citations

Hedging the smirk

Finance research letters·2005·1 author

45citations

Empirical option pricing: a retrospection

Journal of Econometrics

·2003

·1 author

343citations

The Market for Crash Risk

SSRN Electronic Journal·2002·1 author·preprint·Open access

33citations

The Market for Crash Risk

National Bureau of Economic Research·2001·1 author·report·Open access

38citations

Post-'87 crash fears in the S&P 500 futures option market

Journal of Econometrics·2000·1 author

1,417citations

Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash

Journal of money credit and banking·1999·2 authors

29citations

Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options

Journal of International Money and Finance·1996·1 author·Open access

136citations

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

Review of Financial Studies·1996·1 author

2,272citations

20 Testing option pricing models

Handbook of statistics·1995·1 author·chapter·Open access

269citations

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options

National Bureau of Economic Research·1993·1 author·report·Open access

303citations

The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

The Journal of Finance·1991·1 author

874citations

The Crash of '87: Was It Expected? The Evidence from Options Markets

The Journal of Finance·1991·1 author

214citations