Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Johannes, Michael S.
and
Dubinsky, Andrew L.
2005.
Earnings Announcements and Option Prices.
SSRN Electronic Journal,
Carr, Peter
and
Linetsky, Vadim
2006.
A jump to default extended CEV model: an application of Bessel processes.
Finance and Stochastics,
Vol. 10,
Issue. 3,
p.
303.
Rogers, Jonathan L.
Schrand, Catherine M.
and
Verrecchia, Robert E.
2007.
Strategic Disclosure as an Explanation for Asymmetric Return Volatility.
SSRN Electronic Journal,
Daouk, Hazem
and
Ng, David
2007.
Is Unlevered Firm Volatility Asymmetric?.
SSRN Electronic Journal,
Ahoniemi, Katja
2007.
Modeling and Forecasting the VIX Index.
SSRN Electronic Journal,
Walter, Bernd
2007.
The Equity Volatility Smile and Default Risk.
SSRN Electronic Journal,
Ahoniemi, Katja
and
Lanne, Markku
2008.
Joint Modeling of Call and Put Implied Volatility.
SSRN Electronic Journal,
Masset, Philippe
2008.
Properties of High Frequency DAX Returns: Intraday Patterns, Jumps and their Impact on Subsequent Volatility.
SSRN Electronic Journal,
Hibbert, Ann Marie
Daigler, Robert T.
and
Dupoyet, Brice
2008.
A behavioral explanation for the negative asymmetric return–volatility relation.
Journal of Banking & Finance,
Vol. 32,
Issue. 10,
p.
2254.
Vilkov, Grigory
2008.
Variance Risk Premium Demystified.
SSRN Electronic Journal,
Deng, Qian
2008.
Volatility Dispersion Trading.
SSRN Electronic Journal,
Serban, Mihaela
Lehoczky, John P.
and
Seppi, Duane J.
2008.
Cross-Sectional Stock Option Pricing and Factor Models of Returns.
SSRN Electronic Journal,
Diavatopoulos, Dean
Doran, James S.
and
Peterson, David R.
2008.
The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets.
Journal of Futures Markets,
Vol. 28,
Issue. 11,
p.
1013.
Wiphatthanananthakul, Chatayan
and
McAleer, Michael
2009.
A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options.
SSRN Electronic Journal,
Dalkir, Mehmet
2009.
Revisiting stock market index correlations.
Finance Research Letters,
Vol. 6,
Issue. 1,
p.
23.
Badshah, Ihsan Ullah
2009.
Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes.
SSRN Electronic Journal,
Rodrigues, Paulo
and
Schlag, Christian
2009.
A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks.
SSRN Electronic Journal,
Diavatopoulos, Dean
Fodor, Andy
Howton, Shawn D.
and
Howton, Shelly W.
2009.
REIT Volatility and the Introduction of Listed Equity Options.
SSRN Electronic Journal,
Ahoniemi, Katja
and
Lanne, Markku
2009.
Joint modeling of call and put implied volatility.
International Journal of Forecasting,
Vol. 25,
Issue. 2,
p.
239.
DRIESSEN, JOOST
MAENHOUT, PASCAL J.
and
VILKOV, GRIGORY
2009.
The Price of Correlation Risk: Evidence from Equity Options.
The Journal of Finance,
Vol. 64,
Issue. 3,
p.
1377.