Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

ARCH modeling in finance

1992 • 4,478 citations

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

1992 • 3,405 citations

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

1998 • 3,335 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 2,215 citations

The distribution of realized stock return volatility

2001 • 2,164 citations

The Distribution of Realized Exchange Rate Volatility

2001 • 2,139 citations

The relation between implied and realized volatility

1998 • 1,145 citations

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

1989 • 877 citations

ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

1993 • 827 citations

Chapter 49 Arch models

1994 • 820 citations

Predicting Volatility in the Foreign Exchange Market

1995 • 708 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

The Informational Content of Implied Volatility

1993 • 691 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

Predicting stock market volatility: A new measure

1995 • 558 citations

The information content of option prices and a test of market efficiency

1978 • 500 citations

The quality of market volatility forecasts implied by S&P 100 index option prices

1998 • 499 citations

An evaluation of volatility forecasting techniques

1996 • 493 citations

The Distribution of Exchange Rate Volatility

1999 • 457 citations

The incremental volatility information in one million foreign exchange quotations

1997 • 368 citations

Forecasting stock market volatility using (non-linear) Garch models

1996 • 361 citations

The informational content of implied volatility

1993 • 334 citations

Forecasting Volatility

1997 • 280 citations

Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model

1992 • 257 citations

The Private Equity Market: An Overveiw

1997 • 225 citations

Filtering and forecasting with misspecified ARCH models I

1992 • 204 citations

Predicting Volatility in the Foreign Exchange Market

1995 • 191 citations

Volatility forecasting without data-snooping

1990 • 163 citations

Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 • 144 citations

Conditional volatility and the informational efficiency of the PHLX currency options market

1995 • 138 citations

Dividends and S&P 100 index option valuation

1992 • 126 citations

Volatility Prediction

1994 • 94 citations

Modelling S&P 100 volatility: The information content of stock returns

2001 • 56 citations

Filtering and forecasting with misspecified ARCH models II

1995 • 40 citations

Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models.

2001 • 39 citations

Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents

2002 • 17 citations

Encompassing tests when no model is encompassing

2001 • 14 citations

The Distribution of Stock Return Volatility

2000 • 14 citations