References

• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 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
• 1990Noise Trader Risk in Financial Markets6,259 cited
• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 1993Measuring and Testing the Impact of News on Volatility3,692 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
• 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
• 2003The Impact of Jumps in Volatility and Returns1,469 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 2005Analysis of Financial Time Series1,350 cited
• 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
• 1995THE GARCH OPTION PRICING MODEL1,131 cited
• 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices