Stock market volatility and the information content of stock index options

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 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

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Expected stock returns and volatility

1987 • 4,291 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

On estimating the expected return on the market

1980 • 2,932 citations

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

1987 • 2,510 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Generalized autoregressive conditional heteroscedasticity

1986 • 1,914 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 1,217 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

1987 • 987 citations

ARCH models as diffusion approximations

1990 • 974 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 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 information content of option prices and a test of market efficiency

1978 • 500 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

Comparing Information in Forecasts from Econometric Models

1990 • 446 citations

Standard deviations implied in option prices as predictors of future stock price variability

1981 • 388 citations

Valuation of American call options on dividend-paying stocks

1982 • 324 citations

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

1988 • 173 citations

Quasi-maximum likelihood estimation of dynamic models with time varying covariances

1988 • 168 citations

Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 • 144 citations

A theoretical and empirical investigation of the Black-Scholes implied volatility

1989 • 15 citations