Citation Impact
Citing Papers
COVID-19 and finance: Agendas for future research
2020 Standout
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
2019 Standout
Microeconomic Origins of Macroeconomic Tail Risks
2016 StandoutNobel
A Survey on Evaluation of Large Language Models
2024 Standout
Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis
2021 Standout
The Price of Political Uncertainty: Theory and Evidence from the Option Market
2016
Generating options-implied probability densities to understand oil market events
2016
Firms and social responsibility: A review of ESG and CSR research in corporate finance
2021 Standout
Measuring Geopolitical Risk
2022 Standout
The Relative Contribution of Jumps to Total Price Variance
2005
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
2015
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
2007
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
2012
Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models
2023
Measuring Economic Policy Uncertainty*
2016 Standout
Text as Data
2019 Standout
Measuring Systemic Risk
2016 Standout
Tail Risk and Asset Prices
2014
The Importance of Climate Risks for Institutional Investors
2019 Standout
The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market
2018
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
2019 Standout
A Simple Approximate Long-Memory Model of Realized Volatility
2008 Standout
Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets
2019
Volatility jumps: The role of geopolitical risks
2018
Tail risk and the consumption CAPM
2019
Carbon Tail Risk
2018
Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic
2021
Carbon Tail Risk
2020
Dissecting green returns
2022 Standout
Rare Macroeconomic Disasters
2012
Measuring Geopolitical Risk
2018 Standout
News implied volatility and disaster concerns
2016
Geopolitical risk and dynamic connectedness between commodity markets
2022 Standout
Works of Viktor Todorov being referenced
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
2016
The risk premia embedded in index options
2015
Econometric analysis of jump-driven stochastic volatility models
2010
Jumps and betas: A new framework for disentangling and estimating systematic risks
2009
Jump tails, extreme dependencies, and the distribution of stock returns
2012
Variance Risk-Premium Dynamics: The Role of Jumps
2009
Short‐Term Market Risks Implied by Weekly Options
2017
Tail risk premia and return predictability
2015
Volatility Jumps
2010
Realized Volatility and Multipower Variation
2009
Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models
2004
Tails, Fears, and Risk Premia
2011