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Jump Risks and the Intertemporal Capital Asset Pricing Model

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1997The Euler scheme for Lévy driven stochastic differential equations244 cited
1993Option Valuation with Systematic Stochastic Volatility240 cited
1990Option listing and stock returns214 cited
2014Fact or friction: Jumps at ultra high frequency208 cited
1997

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A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

203 cited

1988Jump-Diffusion Processes and the Term Structure of Interest Rates200 cited

1994Alternative Models for the Conditional Heteroscedasticity of Stock Returns194 cited

2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices193 cited

1991Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes171 cited

2004Pricing Weather Derivatives167 cited

1992The foreign exchange risk premium in a target zone with devaluation risk112 cited

2010Realised quantile-based estimation of the integrated variance107 cited

1988The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes106 cited

2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks93 cited

2013Stock Price Jumps and Cross-Sectional Return Predictability86 cited

1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process86 cited