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MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
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MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX (2011)MODEL-FREE IMPLIED VOLATILITY: FROM SURFA…Annual Review of Financial Economics (2017)Annual Review of Financial Ec…Variance swaps on time-changed Lévy processes (2011)Variance swaps on time-change…Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (2010)Market microstructure noise, …Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Can the implied volatility surface move by parallel shifts? (2008)Can the implied volatility su…Extracting Model-Free Volatility from Option Prices (2007)Extracting Model-Free Volatil…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…A Tale of Two Indices (2006)A Tale of Two IndicesA Tale of Two Time Scales (2005)A Tale of Two Time ScalesA Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (2005)A Realized Variance for the W…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Continuous Martingales and Brownian Motion (1999)Modeling and Forecasting Realized Volatility (2003)Parametric and Nonparametric Volatility Measurement (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Expected stock returns and volatility (1987)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Investor sentiment and the price of oil (2017)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)
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References

  • 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
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • 2006A Tale of Two Indices381 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data306 cited
  • 2007Extracting Model-Free Volatility from Option Prices217 cited
  • 2010Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations88 cited
  • 2011Variance swaps on time-changed Lévy processes87 cited
  • 2017Annual Review of Financial Economics

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72 cited
  • 2008Can the implied volatility surface move by parallel shifts?71 cited
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