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Crash of '87 — Was it expected?
16 references·1 citing·32 second hop
Crash of '87 — Was it expected? (2009)Crash of '87 — Was it expected?Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Connections between entropic and linear projections in asset pricing estimation (2002)Connections between entropic …The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model (2000)Simple Entropic Derivation of…Pricing and hedging derivative securities with neural networks and a homogeneity hint (2000)Pricing and hedging derivativ…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…The variation of certain speculative prices (1997)The variation of certain spec…Was the crash of 1929 expected (1994)Was the crash of 1929 expectedThe Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…The Crash of '87: Was It Expected? The Evidence from Options Markets (1991)The Crash of '87: Was It Expe…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Does Income Diversification Benefit the Sustainable Development of Chinese Listed Banks? Analysis Based on Entropy and the Herfindahl–Hirschman Index (2018)Does Income Diversification B…Théorie de la spéculation (1900)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Long-term dependence in common stock returns (1977)Statistical Methods for Data with Long-Range Dependence (1992)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Ex Ante Skewness and Expected Stock Returns (2012)News implied volatility and disaster concerns (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Order Flow and Exchange Rate Dynamics (1999)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited
  • 1991The Crash of '87: Was It Expected? The Evidence from Options Markets214 cited
  • 2000Pricing and hedging derivative securities with neural networks and a homogeneity hint211 cited
  • 1994Was the crash of 1929 expected116 cited
  • 2002Connections between entropic and linear projections in asset pricing estimation

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62 cited
  • 2000Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model56 cited
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    • 2018Does Income Diversification Benefit the Sustainable Development of Chinese Listed Banks? Analysis Based on Entropy and the Herfindahl–Hirschman Index24 cited