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Volatility and Correlation
16 references·8 citing·22 second hop
Volatility and Correlation (2012)Volatility and CorrelationModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Copulas (1999)An Introduction to CopulasMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Range Volatility: A Review of Models and Empirical Studies (2014)Range Volatility: A Review of…The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)The Most General Methodology …Option Data and Modeling BSM Implied Volatility (2011)Option Data and Modeling BSM …On extracting information implied in options (2007)On extracting information imp…Parameterizing correlations: a geometric interpretation (2006)Parameterizing correlations: …Iterative construction of the optimal Bermudan stopping time (2005)Iterative construction of the…Review Paper. Interest–rate term–structure pricing models: a review (2004)Review Paper. Interest–rate t…A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models (2003)A Practitioner's Guide to Pri…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Econometric Analysis of Cross Section and Panel Data (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited

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  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • Cited by

    • 2011The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes116 cited
    • 2006Parameterizing correlations: a geometric interpretation104 cited
    • 2005Iterative construction of the optimal Bermudan stopping time74 cited
    • 2007On extracting information implied in options47 cited
    • 2014Range Volatility: A Review of Models and Empirical Studies37 cited
    • 2011Option Data and Modeling BSM Implied Volatility33 cited
    • 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited
    • 2003A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models29 cited