Standout Papers
Citation Impact
Citing Papers
Planetary boundaries: Guiding human development on a changing planet
2015 StandoutScience
Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
2009 Standout
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 Standout
A Sketch of the Economics of the Greenhouse Effect
2016 StandoutNobel
Prediction Markets
2004
Early-warning signals for critical transitions
2009 StandoutNature
Microeconomic Origins of Macroeconomic Tail Risks
2016 StandoutNobel
CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION
2009
THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
1976 StandoutNobel
Quantifying Transient 3D Dynamical Phenomena of Single mRNA Particles in Live Yeast Cell Measurements
2013 StandoutNobel
Variance Risk Premia
2007
Better to give than to receive: Predictive directional measurement of volatility spillovers
2011 Standout
Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks
1995
Opaque financial reports, R2, and crash risk☆
2009 Standout
The Twin Crises: The Causes of Banking and Balance-of-Payments Problems
1999 Standout
The Price of Political Uncertainty: Theory and Evidence from the Option Market
2016
On the network topology of variance decompositions: Measuring the connectedness of financial firms
2014 Standout
Differences of Opinion, Short-Sales Constraints, and Market Crashes
2003
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
2005
Path-Dependent Option Valuation When the Underlying Path Is Discontinuous
1997
Dynamic derivative strategies
2003
The dynamics of stochastic volatility: evidence from underlying and options markets
2003
Jump risk, stock returns, and slope of implied volatility smile
2010
Modeling and Forecasting Realized Volatility
2003 Standout
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
1999
Option Pricing and the Martingale Restriction
1995
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
2003
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
2004
The Impact of Jumps in Volatility and Returns
2003
Measuring Geopolitical Risk
2022 Standout
Expanded Theory of H- and J-Molecular Aggregates: The Effects of Vibronic Coupling and Intermolecular Charge Transfer
2018 Standout
CoVaR
2016 Standout
Closed-form transformations from risk-neutral to real-world distributions
2007
Range‐Based Estimation of Stochastic Volatility Models
2002
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000 Standout
The Price of a Smile: Hedging and Spanning in Option Markets
2001
Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*
1996
Underidentification?
2012 StandoutNobel
Investor Psychology and Asset Pricing
2001 Standout
The Impact of Uncertainty Shocks
2009 Standout
Term Structures of Credit Spreads with Incomplete Accounting Information
2001 Standout
Common Volatility in International Equity Markets
1993 StandoutNobel
Errors in Implied Volatility Estimation
2003
Estimation of affine asset pricing models using the empirical characteristic function
2001
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
2008 Standout
Intermediary Asset Pricing
2013
Measuring Economic Policy Uncertainty*
2016 Standout
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
2003
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
2008 Standout
A Macroeconomic Model with a Financial Sector
2014
An Introduction to Econophysics: Correlations and Complexity in Finance
2000 Standout
R2 around the world: New theory and new tests☆
2005 Standout
Behavioral Capital Asset Pricing Theory
1994
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 Standout
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
2001 Standout
Disasters Implied by Equity Index Options
2011
Dynamic Valuation Decomposition Within Stochastic Economies
2012 StandoutNobel
Investigating soil moisture–climate interactions in a changing climate: A review
2010 Standout
The jump-risk premia implicit in options: evidence from an integrated time-series study
2002
Pricing and hedging long-term options
2000
Crises and Recoveries in an Empirical Model of Consumption Disasters
2013
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?
2007
Liquidity, pledgeability, and the nature of lending
2021 StandoutNobel
Efficient estimation of general dynamic models with a continuum of moment conditions
2006
Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market
2007
Markov chain Monte Carlo methods for stochastic volatility models
2002
Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
2001
Securitized banking and the run on repo
2011 Standout
Maximum likelihood estimation of the double exponential jump-diffusion process
2006
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
2007
Modeling Term Structures of Defaultable Bonds
1999 Standout
The Distribution of Realized Exchange Rate Volatility
2001 Standout
An alternative valuation model for contingent claims
1997
The impact of possible climate catastrophes on global warming policy
2003
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
2003
Pledgeability, Industry Liquidity, and Financing Cycles
2019 StandoutNobel
The distribution of realized stock return volatility
2001 Standout
Modeling and Forecasting Realized Volatility
2001
Implied Volatility Functions: Empirical Tests
1998
Revenge of the Steamroller: ABCP as a Window on Risk Choices
2019
Fiscal Stimulus in a Monetary Union: Evidence from US Regions
2014 Standout
Single Lévy States–Disorder Induced Energy Funnels in Molecular Aggregates
2014
Empirical Performance of Alternative Option Pricing Models
1997 Standout
Evaluating replicability of laboratory experiments in economics
2016 StandoutScience
ARCH modeling in finance
1992 Standout
Equilibrium Valuation of Foreign Exchange Claims
1997
A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
1997
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
2004 Standout
Volatility puzzles: a simple framework for gauging return-volatility regressions
2005
Autoregressive conditional heteroskedasticity and changes in regime
1994
An empirical test of the variance gamma option pricing model
2002
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Filtering and forecasting with misspecified ARCH models I
1992
Household Finance
2006 Standout
Works of David S. Bates being referenced
Post-'87 Crash Fears in S&P 500 Futures Options
1997
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
1991
The Crash of '87: Was It Expected? The Evidence from Options Markets
1991
The market for crash risk
2007
Maximum Likelihood Estimation of Latent Affine Processes
2006
20 Testing option pricing models
1995
U.S. stock market crash risk, 1926–2010
2012
Post-'87 crash fears in the S&P 500 futures option market
2000
Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options
1996
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
1996 Standout
Empirical option pricing: a retrospection
2003