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Predictable dynamics in implied volatility surfaces from OTC currency options
16 references·0 citing·33 second hop
Predictable dynamics in implied volatility surfaces from OTC currency options (2009)Predictable dynamics in implied volatilit…Theory of rational option pricing (2005)Theory of rational option pri…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…A PANIC Attack on Unit Roots and Cointegration (2004)A PANIC Attack on Unit Roots …Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Implied Binomial Trees (1994)Implied Binomial TreesComparing Predictive Accuracy (1994)Comparing Predictive AccuracyForeign currency option values (1983)Foreign currency option valuesArbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …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…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)Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)Panel Data Models With Interactive Fixed Effects (2009)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)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)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Statistical analysis of cointegration vectors (1988)A Simple Panel Unit Root Test in the Presence of Cross Section Dependence (2004)Introductory Econometrics for Finance (2008)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)Option pricing: A simplified approach (1979)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2004A PANIC Attack on Unit Roots and Cointegration1,890 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1983Foreign currency option values1,078 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 2005The Generalized Dynamic Factor Model824 cited

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