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Modelling implied volatility with OLS and panel data models
16 references·0 citing·25 second hop
Modelling implied volatility with OLS and panel data models (1996)Modelling implied volatility with OLS and…Theory of rational option pricing (2005)Theory of rational option pri…Analysis of Panel Data (2003)Analysis of Panel DataWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Expected stock returns and volatility (1987)Expected stock returns and vo…The theory and practice of econometrics (1986)The theory and practice of ec…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On estimating the expected return on the market (1980)On estimating the expected re…The valuation of options for alternative stochastic processes (1976)The valuation of options for …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…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …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)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)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)Econometric Analysis of Cross Section and Panel Data (2001)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Initial conditions and moment restrictions in dynamic panel data models (1995)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)
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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
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2003Analysis of Panel Data7,858 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return

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