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From Constant to Rough: A Survey of Continuous Volatility Modeling
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From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)From Constant to Rough: A Survey of Conti…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…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…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*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)Multivariate Simultaneous Generalized ARCH (1995)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Econometric Analysis of Cross Section and Panel Data (2001)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)Option pricing: A simplified approach (1979)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
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  • 2001

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Empirical properties of asset returns: stylized facts and statistical issues
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