Estimating the Volatility of Discrete Stock Prices

The Theory of Stochastic Processes

1966 • 3,500 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

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

1982 • 2,405 citations

Stock return variances

1986 • 1,878 citations

The Extreme Value Method for Estimating the Variance of the Rate of Return

1980 • 1,853 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

On the Estimation of Security Price Volatilities from Historical Data

1980 • 1,466 citations

The Theory of Stochastic Processes.

1966 • 1,237 citations

Biases in computed returns

1983 • 846 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

Sequential Analysis, Tests and Confidence Intervals

1987 • 769 citations

Sequential Analysis

1985 • 693 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

The intraday speed of adjustment of stock prices to earnings and dividend announcements

1984 • 450 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Variances of Security Price Returns Based on High, Low, and Closing Prices

1983 • 205 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations

Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices

1987 • 81 citations

Non-trading, market making, and estimates of stock price volatility

1986 • 59 citations

On the independence of transactions on the New York Stock exchange

1977 • 48 citations

Estimating the Volatility of Discrete Stock Prices

1988 • 28 citations