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Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds
16 references·0 citing·34 second hop
Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds (2003)Modeling the stochastic behavior of short…Theory of rational option pricing (2005)Theory of rational option pri…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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 Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited

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  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
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