Citation Impact
Citing Papers
Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
2009 Standout
Out of sample forecasts of quadratic variation
2008
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
2019 Standout
Microeconomic Origins of Macroeconomic Tail Risks
2016 StandoutNobel
Multifrequency jump-diffusions: An equilibrium approach
2007
Microeconomic Origins of Macroeconomic Tail Risks
2014 StandoutNobel
THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
1976 StandoutNobel
A Tale of Two Indices
2006
Algorithms at Work: The New Contested Terrain of Control
2019 Standout
The Price of Political Uncertainty: Theory and Evidence from the Option Market
2016
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
In Search of Distress Risk
2009 Standout
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
2003
Local -estimation for jump-diffusion processes
2012
Measuring Geopolitical Risk
2022 Standout
The Relative Contribution of Jumps to Total Price Variance
2005
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
2007
Deep learning for short-term traffic flow prediction
2017
Credit Constraints and the Cyclicality of R&D Investment: Evidence from France
2008 StandoutNobel
Big Data Analytics in Intelligent Transportation Systems: A Survey
2018 Standout
Economic Policy in the Face of Severe Tail Events
2012 StandoutNobel
Forecasting the volatility of crude oil futures using intraday data
2014
Measuring Economic Policy Uncertainty*
2016 Standout
Human Trust in Artificial Intelligence: Review of Empirical Research
2020 Standout
Pricing and Inference with Mixtures of Conditionally Normal Processes
2007
Measuring Systemic Risk
2016 Standout
Risk-Price Dynamics
2010 StandoutNobel
Artificial intelligence, robotics, advanced technologies and human resource management: a systematic review
2021 Standout
Crises and Recoveries in an Empirical Model of Consumption Disasters
2013
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Risk Price Dynamics
2009 StandoutNobel
A Simple Approximate Long-Memory Model of Realized Volatility
2008 Standout
Markov chain Monte Carlo methods for stochastic volatility models
2002
Securitized banking and the run on repo
2011 Standout
Forecasting cryptocurrencies under model and parameter instability
2018
Maximum likelihood estimation of the double exponential jump-diffusion process
2006
Systemic Risk: What Defaults Are Telling Us
2011
Frailty Correlated Default
2009
Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques
2019 Standout
Volatility jumps: The role of geopolitical risks
2018
Fiscal Stimulus in a Monetary Union: Evidence from US Regions
2014 Standout
CREDIT CONSTRAINTS AND THE CYCLICALITY OF R&D INVESTMENT: EVIDENCE FROM FRANCE
2012 StandoutNobel
Geopolitical risk and dynamic connectedness between commodity markets
2022 Standout
Volatility puzzles: a simple framework for gauging return-volatility regressions
2005
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Works of Nicholas Polson being referenced
Bayesian Particle Tracking of Traffic Flows
2017
The Impact of Jumps in Volatility and Returns
2003
Rejoinder to ‘Deep learning for finance: deep portfolios’
2017
Sequential Learning, Predictability, and Optimal Portfolio Returns
2013