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Cited by

• 2007State Dependence Can Explain the Risk Aversion Puzzle121 cited
• 2006APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING118 cited
• 2009Stochastic Volatility: Origins and Overview113 cited
• 2010The Econometrics of Option Pricing110 cited
• 1998An empirical application of stochastic volatility models95 cited
• 2006Econometric specification of stochastic discount factor models94 cited
• 2019Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options81 cited
• 2001Financial econometrics: Past developments and future challenges75 cited
• 2010Estimation of objective and risk-neutral distributions based on moments of integrated volatility71 cited
• 2002Parametric and Nonparametric Volatility Measurement71 cited
• 2015Smile from the past: A general option pricing framework with multiple volatility and leverage components58 cited
• 2018Good Volatility, Bad Volatility, and Option Pricing57 cited
• 2000Nonparametric estimation of American options’ exercise boundaries and call prices57 cited
• 2014Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints