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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
16 references·5 citing·22 second hop
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis (2001)Option pricing under linear autoregressiv…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Econometrics of Financial Markets (1997)The Econometrics of Financial…A test for independence based on the correlation dimension (1996)A test for independence based…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELThreshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Bayesian forecasting in economics and finance: A modern review (2023)Bayesian forecasting in econo…Dynamic Econometric Models (2016)Dynamic Econometric ModelsAn optimal pairs-trading rule (2013)An optimal pairs-trading ruleStochastic Optimization Methods for Buying-Low-and-Selling-High Strategies (2009)Stochastic Optimization Metho…Parametric pricing of higher order moments in S&P500 options (2004)Parametric pricing of higher …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)The Cross‐Section of Volatility and Expected Returns (2006)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1990ARCH models as diffusion approximations943 cited

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  • 1990Hedging of contingent claims under incomplete information736 cited
  • Cited by

    • 2023Bayesian forecasting in economics and finance: A modern review45 cited
    • 2013An optimal pairs-trading rule42 cited
    • 2004Parametric pricing of higher order moments in S&P500 options37 cited
    • 2009Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies32 cited
    • 2016Dynamic Econometric Models14 cited