Citation Impact
Citing Papers
The cross section of Chinese commodity futures return
2021
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
2019 Standout
Deciphering the Liquidity and Credit Crunch 2007–2008
2009 Standout
THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
1976 StandoutNobel
Does a Contagion Effect Exist Between EquityMarkets and Hedge Funds in Periods of ExtremeStress in Financial Markets?
2010
Modelling the absolute returns of different stock indices: exploring the forecastability of an alternative measure of risk
2000 StandoutNobel
Stochastic Modeling and Analysis of Multiple Nonlinear Accelerated Degradation Processes through Information Fusion
2016
New frontiers for arch models
2002 StandoutNobel
Path-Dependent Option Valuation When the Underlying Path Is Discontinuous
1997
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
2016
Modeling and Forecasting Realized Volatility
2003 Standout
Properties of Long/Short Commodity Indices in Stock and Bond Portfolios
2018
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
2020 Standout
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
1999
Geopolitical risks and stock market dynamics of the BRICS
2018 Standout
Coherent Measures of Risk
1999 Standout
Financial time series forecasting model based on CEEMDAN and LSTM
2018 Standout
What good is a volatility model?
2001 StandoutNobel
Machinery health prognostics: A systematic review from data acquisition to RUL prediction
2017 Standout
Is Bitcoin the “Paris Hilton” of the Currency World? Or Are the Early Investors onto Something That Will Make Them Rich?
2016
Oil volatility, oil and gas firms and portfolio diversification
2018 Standout
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
1998 Standout
Whom You Know Matters: Venture Capital Networks and Investment Performance
2007 Standout
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
A Simple Approximate Long-Memory Model of Realized Volatility
2008 Standout
Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula
2001 Standout
Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation
1997 StandoutNobel
The Distribution of Realized Exchange Rate Volatility
2001 Standout
Connecting discrete and continuous path-dependent options
1999
The distribution of realized stock return volatility
2001 Standout
Private Equity Performance: Returns, Persistence and Capital Flows
2003
Strictly Proper Scoring Rules, Prediction, and Estimation
2007 Standout
Geopolitical risk and dynamic connectedness between commodity markets
2022 Standout
The Cross‐Section of Volatility and Expected Returns
2006 Standout
An Overview of Value at Risk
1997
Works of Harry M. Kat being referenced
Pricing Lookback Options Using Binomial Trees: An Evaluation
2000
What Every Investor Should Know About Commodities, Part I
2007
Discrete Partial Barrier Options with a Moving Barrier
2001
Partial Barrier Options
2000
Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models.
2001
What Every Investor Should Know About Commodities, Part II: Multivariate Return Analysis
2006
Volatility Prediction
1994
Lookback options with discrete and partial monitoring of the underlying price
1995
Persistence in Hedge Fund Performance: The True Value of a Track Record
2002
Welcome to the Dark Side
2003
The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors
2002
An Excursion into the Statistical Properties of Hedge Fund Returns
2002
10 Things That Investors Should Know About Hedge Funds
2003
The Dangers of Using Correlation to Measure Dependence
2003