Aggregation and model construction for volatility models

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

1993 • 8,830 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Table of Integrals, Series, and Products

1966 • 8,570 citations

A table of integrals

1917 • 7,316 citations

The Econometrics of Financial Markets

2012 • 6,595 citations

Stochastic Integration and Differential Equations

2005 • 4,762 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

1998 • 3,335 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

1998 • 2,294 citations

Modelling Financial Time Series

2007 • 1,507 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

Intraday periodicity and volatility persistence in financial markets

1997 • 1,334 citations

Processes of normal inverse Gaussian type

1997 • 1,261 citations

5 Stochastic volatility

1996 • 1,243 citations

Diffusions, Markov processes, and martingales

1979 • 1,211 citations

Which Moments to Match?

1996 • 1,056 citations

ARCH models as diffusion approximations

1990 • 974 citations

Two Singular Diffusion Problems

1951 • 872 citations

Hyperbolic distributions in finance

1995 • 785 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Temporal Aggregation of Garch Processes

1993 • 720 citations

Estimating nonlinear time-series models using simulated vector autoregressions

1993 • 712 citations

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

1997 • 664 citations

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

1997 • 545 citations

A Permanent and Transitory Component Model of Stock Return Volatility

1993 • 505 citations

Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75

1982 • 348 citations

Short-Term Interest Rates as Subordinated Diffusions

1997 • 289 citations

ASYMPTOTIC THEORY OF ESTIMATES OF kTH-ORDER SPECTRA

1967 • 191 citations

On a continuous analogue of the stochastic difference equation Xn=ρXn-1+Bn

1982 • 167 citations

An integral representation for selfdecomposable banach space valued random variables

1983 • 160 citations

Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions

1979 • 140 citations

Estimating Continuous-Time Processes Subject to Time Deformation

1988 • 139 citations

Variations in economic uncertainty and risk premiums on capital assets

1993 • 122 citations

Some stationary processes in discrete and continuous time

1998 • 109 citations

Modelling Short-Term Volatility with GARCH and HARCH Models

1997 • 89 citations

On A Class of Infinitely Divisible Processes Represented as Mixtures of Gaussian Processes

1991 • 66 citations

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

1998 • 62 citations

𝜉-radial processes and random Fourier series

1987 • 61 citations

LONG‐RANGE DEPENDENCE, NON‐LINEARITY AND TIME IRREVERSIBILITY

1991 • 55 citations

On the estimation of the parameters of a power spectrum

1979 • 36 citations

Aggregations and Marginalization of Garch and Stochastic Volatility Models

1996 • 32 citations

Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects.

1994 • 30 citations

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

1994 • 13 citations