Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

A New Approach to Linear Filtering and Prediction Problems

1960 • 28,714 citations

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

1987 • 15,268 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Continuous Martingales and Brownian Motion

1999 • 6,391 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

Limit Theorems for Stochastic Processes.

1988 • 4,355 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Dynamic Asset Pricing Theory.

1993 • 3,202 citations

Kalman Filtering and Neural Networks

2001 • 2,333 citations

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

1996 • 2,306 citations

Option valuation using the fast Fourier transform

1999 • 2,265 citations

Forward and spot exchange rates

1984 • 2,213 citations

Value versus Growth: The International Evidence

1998 • 2,126 citations

The Determinants of Credit Spread Changes

2001 • 2,110 citations

Continuous Martingales and Brownian Motion

1991 • 1,960 citations

The Fine Structure of Asset Returns: An Empirical Investigation

2002 • 1,839 citations

Yield Spreads and Interest Rate Movements: A Bird's Eye View

1991 • 1,822 citations

The jump-risk premia implicit in options: evidence from an integrated time-series study

2002 • 1,798 citations

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

2003 • 1,742 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

Bond Risk Premia

2005 • 1,494 citations

Post-'87 crash fears in the S&P 500 futures option market

2000 • 1,478 citations

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

2003 • 1,393 citations

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

2003 • 1,360 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

Diffusions, Markov processes, and martingales

1979 • 1,211 citations

The forward discount anomaly and the risk premium: A survey of recent evidence

1996 • 1,172 citations

Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

2004 • 1,167 citations

Exchange rates and fundamentals: Evidence on long-horizon predictability

1995 • 1,120 citations

Real-time price discovery in global stock, bond and foreign exchange markets

2007 • 1,099 citations

Recovering Probability Distributions from Option Prices

1996 • 1,095 citations

Foreign currency option values

1983 • 1,077 citations

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 1,054 citations

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

2003 • 952 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

1993 • 935 citations

Order Flow and Exchange Rate Dynamics

2002 • 914 citations

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

2001 • 904 citations

The World Price of Foreign Exchange Risk

1995 • 824 citations

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

1990 • 811 citations

Time-changed Lévy processes and option pricing

2003 • 726 citations

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

1999 • 717 citations

Exchange Rates and Fundamentals

2005 • 708 citations

Empirical pricing kernels

2002 • 707 citations

Are the Fama and French Factors Global or Country Specific?

2002 • 706 citations

Option‐Implied Risk Aversion Estimates

2004 • 677 citations

Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World

1992 • 670 citations

Model Specification and Risk Premia: Evidence from Futures Options

2007 • 647 citations

Affine Term Structure Models and the Forward Premium Anomaly

2001 • 645 citations

Bond Yields and the Federal Reserve

2005 • 577 citations

Exchange Rates, Equity Prices, and Capital Flows

2005 • 570 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

The dynamics of stochastic volatility: evidence from underlying and options markets

2003 • 532 citations

The Finite Moment Log Stable Process and Option Pricing

2003 • 532 citations

A Theory of the Nominal Term Structure of Interest Rates

1992 • 423 citations

Stochastic skew in currency options☆

2007 • 358 citations

Recovering Probability Distributions from Option Prices

1996 • 343 citations

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

2002 • 340 citations

International risk sharing is better than you think, or exchange rates are too smooth

2006 • 335 citations

Asset Prices and Exchange Rates

2007 • 327 citations

Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 312 citations

The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior

1998 • 311 citations

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

2002 • 294 citations

The World Price of Foreign Exchange Risk

1995 • 289 citations

Time‐Varying Expected Returns in International Bond Markets

1995 • 289 citations

Asset Pricing under the Quadratic Class

2002 • 279 citations

Pricing and hedging long-term options

2000 • 265 citations

An Exploration of the Forward Premium Puzzle in Currency Markets

1997 • 253 citations

The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

1997 • 249 citations

Regime switching in foreign exchange rates:

2000 • 237 citations

Informed and Strategic Order Flow in the Bond Markets

2007 • 237 citations

A Nonlinear Factor Analysis of S&P 500 Index Option Returns

2006 • 177 citations

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

1999 • 161 citations

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

2006 • 144 citations

Handbook of Financial Engineering

2008 • 130 citations

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

2002 • 130 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 130 citations

International Capital Markets and Foreign Exchange Risk

2006 • 124 citations

Equilibrium Valuation of Foreign Exchange Claims

1997 • 113 citations

Crash–O–Phobia

2005 • 107 citations

Stochastic Skew in Currency Options

2004 • 91 citations

Time-Varying Expected Returns in International Bond Markets

1995 • 75 citations

Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns*

2006 • 73 citations

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium

1999 • 56 citations

Evidence of Risk Premiums in Foreign Currency Futures Markets

1992 • 53 citations

Modeling Financial Security Returns Using Levy Processes

2006 • 38 citations

Realignment risk and currency option pricing in target zones

1995 • 36 citations

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

2007 • 36 citations

Yield Spreads and Interest Rate Movements: A Bird's Eye View

1989 • 31 citations

International capital asset pricing: Evidence from options

2007 • 31 citations

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

2006 • 20 citations

Equilibrium Valuation of Foreign Exchange Claims

1997 • 19 citations

The World Price of Jump and Volatility Risk

2006 • 18 citations

The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

2003 • 14 citations

Information content of cross‐sectional option prices: A comparison of alternative currency option pricing models on the Japanese yen

2005 • 10 citations

Investor Irrationality and the Nasdaq Bubble

2006 • 10 citations

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

2006 • 8 citations

International Capital Asset Pricing: Evidence from Options

2006 • 6 citations