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Applications of statistical mechanics to finance
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Applications of statistical mechanics to finance (1999)Applications of statistical mechanics to …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Introduction to Econophysics (1999)Introduction to EconophysicsHierarchical structure in financial markets (1999)Hierarchical structure in fin…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Continuous-Time Finance. (1991)Continuous-Time Finance.Theory of Financial Decision Making. (1988)Theory of Financial Decision …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…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…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Théorie de la spéculation (1900)Théorie de la spéculationBook Review: 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)An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)The variation of certain speculative prices (1997)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)5 Stochastic volatility (1996)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Determining the Number of Factors in Approximate Factor Models (2002)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1997The Econometrics of Financial Markets5,048 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1900Théorie de la spéculation2,702 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,398 cited
  • 1999Hierarchical structure in financial markets2,104 cited
  • 1999Introduction to Econophysics1,919 cited
  • 1988Theory of Financial Decision Making.1,870 cited
  • 1991Continuous-Time Finance.1,805 cited
  • 1995Scaling behaviour in the dynamics of an economic index

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