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The impact of firm specific news on implied volatilities
16 references·9 citing·17 second hop
The impact of firm specific news on implied volatilities (1996)The impact of firm specific news on impli…Theory of rational option pricing (2005)Theory of rational option pri…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELMeasuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)The intraday speed of adjustm…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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…Does analyst forecast dispersion represent investors’ perceived uncertainty toward earnings? (2020)Does analyst forecast dispers…Volatility spreads and earnings announcement returns (2013)Volatility spreads and earnin…Corporate risk and corporate governance: another view (2013)Corporate risk and corporate …The options market response to accounting earnings announcements (2012)The options market response t…The impact of macroeconomic announcements on implied volatility (2011)The impact of macroeconomic a…Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty (2004)Impact of the federal open ma…Earnings announcements and equity options (2004)Earnings announcements and eq…Relative importance of scheduled macroeconomic news for stock market investors (2003)Relative importance of schedu…Evolution of market uncertainty around earnings announcements (2001)Evolution of market uncertain…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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1984

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The intraday speed of adjustment of stock prices to earnings and dividend announcements
436 cited

Cited by

  • 2004Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty88 cited
  • 2003Relative importance of scheduled macroeconomic news for stock market investors67 cited
  • 2013Volatility spreads and earnings announcement returns62 cited
  • 2001Evolution of market uncertainty around earnings announcements49 cited
  • 2004Earnings announcements and equity options35 cited
  • 2011The impact of macroeconomic announcements on implied volatility30 cited
  • 2020Does analyst forecast dispersion represent investors’ perceived uncertainty toward earnings?28 cited
  • 2013Corporate risk and corporate governance: another view28 cited
  • 2012The options market response to accounting earnings announcements26 cited