The relation between implied and realized volatility

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Specification Tests in Econometrics

1978 • 17,234 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Time Series Analysis.

1995 • 11,935 citations

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

1993 • 8,830 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

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Spurious regressions in econometrics

1974 • 6,029 citations

Expected stock returns and volatility

1987 • 4,291 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Time Series Analysis

1997 • 3,571 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 1,730 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Estimation and Inference in Two-Step Econometric Models

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Stock Volatility and the Crash of ’87

1990 • 1,003 citations

ARCH models as diffusion approximations

1990 • 974 citations

Predicting Volatility in the Foreign Exchange Market

1995 • 708 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

The Informational Content of Implied Volatility

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Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities

1993 • 588 citations

The Pricing of Contingent Claims in Discrete Time Models

1979 • 571 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Drawing inferences from statistics based on multiyear asset returns

1989 • 434 citations

Estimation and Inference in Two-Step Econometric Models

1985 • 380 citations

Market volatility prediction and the efficiency of the S & P 100 index option market

1992 • 313 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

General Properties of Option Prices

1996 • 210 citations

The behavior of the volatility implicit in the prices of stock index options

1988 • 173 citations

Stock Splits, Volatility Increases, and Implied Volatilities

1989 • 83 citations