Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities

16 references·16 citing·36 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

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
1985Continuous Auctions and Insider Trading9,626 cited
1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
1990ARCH models as diffusion approximations943 cited
1987Option values under stochastic volatility: Theory and empirical estimates904 cited

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

1989

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

856 cited

1990Pricing foreign currency options with stochastic volatility749 cited

Cited by

1998The quality of market volatility forecasts implied by S&P 100 index option prices476 cited
2006A Tale of Two Indices381 cited
1997Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility375 cited
1997The incremental volatility information in one million foreign exchange quotations346 cited
1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood331 cited
2010The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets310 cited
2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernel310 cited
1992Market volatility prediction and the efficiency of the S & P 100 index option market297 cited
2006A Theory of Volatility Spreads292 cited
2004Which GARCH Model for Option Valuation?290 cited
2008Volatility Information Trading in the Option Market287 cited
2006Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?283 cited
1992Prediction in dynamic models with time-dependent conditional variances280 cited
199520 Testing option pricing models269 cited
1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
2005Volatility puzzles: a simple framework for gauging return-volatility regressions263 cited