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Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices
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Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices (2012)Dynamic relations of uncertainty expectat…Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Understanding the VIX (2009)Understanding the VIXTheory of rational option pricing (2005)Theory of rational option pri…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The Investor Fear Gauge (2000)The Investor Fear GaugePost-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Macroeconomics and Reality (1980)Macroeconomics and RealityThe pricing of commodity contracts (1976)The pricing of commodity cont…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)The Cross‐Section of Volatility and Expected Returns (2006)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2009Understanding the VIX650 cited
  • 2015Modeling financial contagion using mutually exciting jump processes

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