SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time-varying jump tails
16 references·9 citing·40 second hop
Time-varying jump tails (2014)Time-varying jump tailsExecutive compensation (2008)Executive compensationRare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Modelling Extremal Events (1997)Modelling Extremal EventsJumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Implied Binomial Trees (1994)Implied Binomial TreesDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Tail risk and return predictability for the Japanese equity market (2020)Tail risk and return predicta…Decomposing the VIX: Implications for the predictability of stock returns (2020)Decomposing the VIX: Implicat…Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures* (2019)Realized Peaks over Threshold…Testing for self-excitation in jumps (2018)Testing for self-excitation i…Measuring Tail Risks at High Frequency (2018)Measuring Tail Risks at High …An anatomy of the market return (2018)An anatomy of the market retu…The Pricing of Jump Propagation: Evidence from Spot and Options Markets (2017)The Pricing of Jump Propagati…Higher-Moment Risk (2017)Higher-Moment RiskContagion Risk in Global Banking Sector (2017)Contagion Risk in Global Bank…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)The External Control of Organizations. (1978)Income Inequality in the United States, 1913-1998 (2003)Political turnover and economic performance: the incentive role of personnel control in China (2004)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2008Executive compensation2,390 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1994

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Implied Binomial Trees
1,749 cited

Cited by

  • 2017Contagion Risk in Global Banking Sector69 cited
  • 2020Tail risk and return predictability for the Japanese equity market46 cited
  • 2018Testing for self-excitation in jumps36 cited
  • 2018An anatomy of the market return35 cited
  • 2017The Pricing of Jump Propagation: Evidence from Spot and Options Markets34 cited
  • 2019Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*31 cited
  • 2018Measuring Tail Risks at High Frequency31 cited
  • 2020Decomposing the VIX: Implications for the predictability of stock returns28 cited
  • 2017Higher-Moment Risk20 cited