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Forecasting the KOSPI200 spot volatility using various volatility measures
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Forecasting the KOSPI200 spot volatility using various volatility measures (2018)Forecasting the KOSPI200 spot volatility …The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …The relation between implied and realized volatility (1998)The relation between implied …Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)Forecasting Output and Inflation: The Role of Asset Prices (2003)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)25 years of time series forecasting (2006)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2003)Multivariate GARCH models: a survey (2006)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,695 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation2,042 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,695 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility

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937 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
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