Long-term equity anticipation securities and stock market volatility dynamics

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

The Econometrics of Financial Markets

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On a measure of lack of fit in time series models

1978 • 5,638 citations

The Econometrics of Financial Markets

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ARCH modeling in finance

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The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

A long memory property of stock market returns and a new model

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

1996 • 2,276 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Modeling and pricing long memory in stock market volatility

1996 • 1,249 citations

5 Stochastic volatility

1996 • 1,243 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 1,217 citations

THE GARCH OPTION PRICING MODEL

1995 • 1,177 citations

Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices

1998 • 1,122 citations

Chapter 49 Arch models

1994 • 820 citations

Statistical aspects of ARCH and stochastic volatility

1996 • 788 citations

Long memory in continuous‐time stochastic volatility models

1998 • 747 citations

A Long Memory Property of Stock Market Returns and a New Model

2010 • 707 citations

The detection and estimation of long memory in stochastic volatility

1998 • 649 citations

Advances in Econometrics

1983 • 421 citations

Implied ARCH models from options prices

1992 • 310 citations

Pricing and hedging long-term options

2000 • 265 citations

Option Valuation with Systematic Stochastic Volatility

1993 • 244 citations

Analysis of the Term Structure of Implied Volatilities

1994 • 200 citations

Forecasting Volatility in the Financial Markets

2007 • 195 citations

20 Testing option pricing models

1996 • 133 citations

Econometric models of option pricing errors

1997 • 125 citations

Estimation of continuous-time models in finance

2008 • 61 citations

Option Valuation with Systematic Stochastic Volatility

1993 • 52 citations

Statistical Inference for Random-Variance Option Pricing

2000 • 52 citations

The Pricing of Japanese Equity Warrants

1992 • 38 citations

Pricing and Hedging Long-Term Options

1998 • 10 citations

Deleted Work

1955 • 0 citations