David S. Bates

6.8k total citations · 3 hit papers
19 papers, 4.3k citations indexed

About

David S. Bates is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, David S. Bates has authored 19 papers receiving a total of 4.3k indexed citations (citations by other indexed papers that have themselves been cited), including 19 papers in Finance, 9 papers in Economics and Econometrics and 2 papers in General Economics, Econometrics and Finance. Recurrent topics in David S. Bates's work include Stochastic processes and financial applications (15 papers), Financial Risk and Volatility Modeling (13 papers) and Financial Markets and Investment Strategies (8 papers). David S. Bates is often cited by papers focused on Stochastic processes and financial applications (15 papers), Financial Risk and Volatility Modeling (13 papers) and Financial Markets and Investment Strategies (8 papers). David S. Bates collaborates with scholars based in United States. David S. Bates's co-authors include Roger Craine and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Review of Financial Studies.

In The Last Decade

David S. Bates

19 papers receiving 4.0k citations

Hit Papers

Jumps and Stochastic Volatility: Exchange Rate Processes ... 1991 2026 2002 2014 1996 2000 1991 500 1000 1.5k
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
    1996 1.5k citations David S. Bates Review of Financial Studies profile →
  2. Post-'87 crash fears in the S&P 500 futures option market
    2000 1.1k citations David S. Bates Journal of Econometrics profile →
  3. The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
    1991 618 citations David S. Bates The Journal of Finance profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
David S. Bates United States 14 4.1k 1.7k 481 423 200 19 4.3k
Michael Johannes United States 21 3.2k 0.8× 1.6k 0.9× 583 1.2× 273 0.6× 216 1.1× 43 3.5k
Liuren Wu United States 35 5.3k 1.3× 2.3k 1.4× 925 1.9× 414 1.0× 248 1.2× 122 5.6k
Bjørn Eraker United States 14 2.8k 0.7× 1.4k 0.8× 391 0.8× 282 0.7× 140 0.7× 29 3.1k
Giovanni Barone‐Adesi Switzerland 20 2.1k 0.5× 1.1k 0.7× 417 0.9× 126 0.3× 180 0.9× 79 2.3k
Jérôme Detemple United States 30 3.1k 0.8× 1.9k 1.2× 551 1.1× 411 1.0× 311 1.6× 83 3.7k
Jin‐Chuan Duan Singapore 33 3.4k 0.8× 1.7k 1.0× 444 0.9× 292 0.7× 206 1.0× 83 3.8k
Marek Rutkowski Australia 16 2.1k 0.5× 669 0.4× 135 0.3× 382 0.9× 268 1.3× 79 2.3k
Fabio Mercurio United States 17 1.8k 0.4× 578 0.3× 251 0.5× 413 1.0× 209 1.0× 61 2.0k
Marek Musiela Australia 15 1.9k 0.5× 759 0.5× 213 0.4× 377 0.9× 325 1.6× 29 2.2k
Anthony B. Sanders United States 21 2.2k 0.5× 1.4k 0.9× 548 1.1× 169 0.4× 99 0.5× 74 2.8k

Countries citing papers authored by David S. Bates

Since Specialization
Citations

This map shows the geographic impact of David S. Bates's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by David S. Bates with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites David S. Bates more than expected).

Fields of papers citing papers by David S. Bates

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by David S. Bates. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by David S. Bates. The network helps show where David S. Bates may publish in the future.

Co-authorship network of co-authors of David S. Bates

This figure shows the co-authorship network connecting the top 25 collaborators of David S. Bates. A scholar is included among the top collaborators of David S. Bates based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with David S. Bates. David S. Bates is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

19 of 19 papers shown
1.
Bates, David S.. (2022). Empirical Option Pricing Models. Annual Review of Financial Economics. 14(1). 369–389. 8 indexed citations
2.
Bates, David S.. (2018). How Crashes Develop: Intradaily Volatility and Crash Evolution. The Journal of Finance. 74(1). 193–238. 25 indexed citations
3.
Bates, David S.. (2016). How Crashes Develop: Intradaily Volatility and Crash Evolution. SSRN Electronic Journal. 5 indexed citations
4.
Bates, David S.. (2012). U.S. stock market crash risk, 1926–2010. Journal of Financial Economics. 105(2). 229–259. 79 indexed citations
5.
Bates, David S.. (2007). The market for crash risk. Journal of Economic Dynamics and Control. 32(7). 2291–2321. 130 indexed citations
6.
Bates, David S.. (2006). Maximum Likelihood Estimation of Latent Affine Processes. Review of Financial Studies. 19(3). 909–965. 201 indexed citations
7.
Bates, David S.. (2005). Hedging the smirk. Finance research letters. 2(4). 195–200. 35 indexed citations
8.
Bates, David S.. (2003). Empirical option pricing: a retrospection. Journal of Econometrics. 116(1-2). 387–404. 250 indexed citations
9.
Bates, David S.. (2002). The Market for Crash Risk. SSRN Electronic Journal. 32 indexed citations
10.
Bates, David S.. (2000). Post-'87 crash fears in the S&P 500 futures option market. Journal of Econometrics. 94(1-2). 181–238. 1074 indexed citations breakdown →
11.
Bates, David S.. (1999). Financial markets' assessments of EMU. Carnegie-Rochester Conference Series on Public Policy. 51. 229–269. 5 indexed citations
12.
Bates, David S. & Roger Craine. (1999). Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash. Journal of money credit and banking. 31(2). 248–248. 19 indexed citations
13.
Bates, David S.. (1997). Post-'87 Crash Fears in S&P 500 Futures Options. National Bureau of Economic Research. 8 indexed citations
14.
Bates, David S.. (1996). Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. Review of Financial Studies. 9(1). 69–107. 1524 indexed citations breakdown →
15.
Bates, David S.. (1996). Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options. Journal of International Money and Finance. 15(1). 65–93. 84 indexed citations
16.
Bates, David S.. (1995). 20 Testing option pricing models. National Bureau of Economic Research. 567–611. 16 indexed citations
17.
Bates, David S.. (1991). The Crash of '87: Was It Expected? The Evidence from Options Markets. The Journal of Finance. 46(3). 1009–1009. 142 indexed citations
18.
Bates, David S.. (1991). The Crash of ʼ87: Was It Expected? The Evidence from Options Markets. The Journal of Finance. 46(3). 1009–1044. 618 indexed citations breakdown →
19.
Bates, David S.. (1989). Crashes, options, and international asset substitutability. UMI eBooks. 5 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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