Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1987 • 15,268 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

ARCH modeling in finance

1992 • 4,478 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 • 3,196 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 2,215 citations

Stock Prices and Volume

1992 • 1,388 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

The Market Model of Interest Rate Dynamics

1997 • 1,194 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

1992 • 905 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

The Informational Content of Implied Volatility

1993 • 691 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

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

1993 • 588 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

The information content of option prices and a test of market efficiency

1978 • 500 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 320 citations

The Pricing of Options on Default-Free Bonds

1982 • 251 citations

Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

1992 • 244 citations

Forward contracts and futures contracts

1981 • 242 citations

Implied volatility functions in arbitrage-free term structure models

1994 • 216 citations

Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 • 144 citations

The Dynamics of Short-Term Interest Rate Volatility Reconsidered

1997 • 107 citations

Deleted Work

1955 • 0 citations