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Gram–Charlier densities
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Gram–Charlier densities (2001)Gram–Charlier densitiesAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …Stochastic Simulation (1987)Stochastic SimulationGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Foreign currency option values (1983)Foreign currency option valuesAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants (2023)Spillovers of joint volatilit…Option Return Predictability with Machine Learning and Big Data (2023)Option Return Predictability …Multivariate moments expansion density: Application of the dynamic equicorrelation model (2016)Multivariate moments expansio…Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (2014)Semi-nonparametric estimation…Forecasting with Option-Implied Information (2013)Forecasting with Option-Impli…Pricing and Inference with Mixtures of Conditionally Normal Processes (2010)Pricing and Inference with Mi…Multivariate semi-nonparametric distributions with dynamic conditional correlations (2010)Multivariate semi-nonparametr…Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (2009)Parametric Properties of Semi…Econometric Asset Pricing Modelling (2008)Econometric Asset Pricing Mod…Comparing density forecast models (2007)Comparing density forecast mo…The effect of macroeconomic news on beliefs and preferences: Evidence from the options market (2006)The effect of macroeconomic n…Foreign exchange market intervention and expectations: The yen/dollar exchange rate (2005)Foreign exchange market inter…Autoregresive conditional volatility, skewness and kurtosis (2005)Autoregresive conditional vol…Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Option-Implied Risk-Neutral D…Pricing Swaptions Within an Affine Framework (2002)Pricing Swaptions Within an A…Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Entropy densities with an app…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)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)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Econometric Analysis of Cross Section and Panel Data (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)Impulse response analysis in nonlinear multivariate models (1996)Model-Based Geostatistics (1998)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)
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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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Cited by

  • 2002Entropy densities with an application to autoregressive conditional skewness and kurtosis262 cited
  • 2005Autoregresive conditional volatility, skewness and kurtosis216 cited
  • 2023Option Return Predictability with Machine Learning and Big Data

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206 cited
  • 2007Comparing density forecast models154 cited
  • 2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation138 cited
  • 2006The effect of macroeconomic news on beliefs and preferences: Evidence from the options market138 cited
  • 2004Option-Implied Risk-Neutral Distributions and Risk Aversion134 cited
  • 2005Foreign exchange market intervention and expectations: The yen/dollar exchange rate106 cited
  • 2013Forecasting with Option-Implied Information97 cited
  • 2016Multivariate moments expansion density: Application of the dynamic equicorrelation model79 cited
  • 2002Pricing Swaptions Within an Affine Framework75 cited
  • 2010Pricing and Inference with Mixtures of Conditionally Normal Processes58 cited
  • 2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants56 cited
  • 2014Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints54 cited
  • 2008Econometric Asset Pricing Modelling51 cited
  • 2010Multivariate semi-nonparametric distributions with dynamic conditional correlations44 cited