References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1977Estimating betas from nonsynchronous data2,751 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
• 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
• 1990Portfolio Selection with Transaction Costs1,318 cited
• 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
• 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
• 1972The Distribution of Share Price Changes533 cited
• 1976Portfolio selection with transactions costs431 cited
• 1966Market Making and Reversal on the Stock Exchange371 cited
• 2002Econometric models of limit-order executions