Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,622 citations

Differences of Opinion Make a Horse Race

1993 • 1,618 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

2003 • 1,360 citations

Differential Interpretation of Public Signals and Trade in Speculative Markets

1995 • 1,207 citations

Univariate Discrete Distributions

2005 • 1,167 citations

The Model-Free Implied Volatility and Its Information Content

2005 • 1,019 citations

Dealership market

1980 • 998 citations

Option Prices, Implied Price Processes, and Stochastic Volatility

2000 • 998 citations

Economic News and Bond Prices: Evidence from the U.S. Treasury Market

2001 • 904 citations

Macroeconomic FactorsDoInfluence Aggregate Stock Returns

2002 • 836 citations

The Information in Option Volume for Future Stock Prices

2006 • 824 citations

The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks

2005 • 782 citations

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

1999 • 717 citations

Bond Yields and the Federal Reserve

2005 • 577 citations

News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns

2004 • 541 citations

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

2002 • 387 citations

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

2004 • 387 citations

The Microeconomics of Market Making

1986 • 370 citations

Model Uncertainty and Option Markets with Heterogeneous Beliefs

2006 • 361 citations

Consensus and Uncertainty in Economic Prediction

1987 • 353 citations

The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices

1981 • 270 citations

The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

1996 • 269 citations

Option Trading, Price Discovery, and Earnings News Dissemination*

1997 • 244 citations

Errors in Implied Volatility Estimation

2003 • 206 citations

Industry Returns and the Fisher Effect

1994 • 192 citations

Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk

1993 • 181 citations

The effect of macroeconomic news on beliefs and preferences: Evidence from the options market

2006 • 144 citations

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk

2007 • 16 citations

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk

2005 • 9 citations