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Parameter estimation risk in asset pricing and risk management: A Bayesian approach
16 references·0 citing·38 second hop
Parameter estimation risk in asset pricing and risk management: A Bayesian approach (2017)Parameter estimation risk in asset pricin…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Learning about Predictability…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…On Jump Processes in the Foreign Exchange and Stock Markets (1988)On Jump Processes in the Fore…On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)On Jumps in Common Stock Pric…Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation (1984)Contingent Claims Analysis of…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Analysis of Financial Time Series (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)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)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)The Pricing of Options on Assets with Stochastic Volatilities (1987)Post-'87 crash fears in the S&P 500 futures option market (2000)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)Predictive regressions (1999)International Asset Allocation With Regime Shifts (2002)Presidential Address: Discount Rates (2011)On estimating the expected return on the market (1980)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Cross‐Section of Volatility and Expected Returns (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Theory of the Term Structure of Interest Rates (1985)Option valuation using the fast Fourier transform (1999)The cost of capital, corporation finance and the theory of investment (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2003The Impact of Jumps in Volatility and Returns1,525 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation678 cited
  • 1988On Jump Processes in the Foreign Exchange and Stock Markets625 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models611 cited
  • 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
  • 2001Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

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450 cited
  • 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing409 cited
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