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Inference for Continuous Semimartingales Observed at High Frequency: A General Approach
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Inference for Continuous Semimartingales Observed at High Frequency: A General Approach (2007)Inference for Continuous Semimartingales …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…CHAPMAN AND HALL (1985)CHAPMAN AND HALLMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Controlled Markov Processes and Viscosity Solutions (2005)Sex differences in human mate preferences: Evolutionary hypotheses tested in 37 cultures (1989)Origins of the modern mind: three stages in the evolution of culture and cognition (1992)Methods to account for spatial autocorrelation in the analysis of species distributional data: a review (2007)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1985CHAPMAN AND HALL4,352 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

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1,373 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
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