Volatility (finance)

Field
Subfield
Domain
OpenAlex	C91602232

Smeal faculty

• Anh Le - score 5.7
• Giang Nguyen - score 3.4
• Liang Peng - score 3.3
• Charles Cao - score 2.9
• Charles Whiteman - score 2.1
• Stephen Lenkey - score 1.5
• Joel M. Vanden - score 1.4
• Timothy T. Simin - score 1.4
• William Kracaw - score 1.3
• Jingzhi Huang - score 1.2
• Dennis P. Sheehan - score 1.2
• Henock Louis - score 0.6
• Eva Maria Steiner - score 0.6
• Frederick Hood - score 0.5
• Lorna Eileen Hardin - score 0.5
• Fenghua Song - score 0.5

Papers

• Empirical Performance of Alternative Option Pricing Models (1997) - cites 2708
• International Business Cycles: World, Region, and Country-Specific Factors (2003) - cites 1232
• Were the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression (1999) - cites 644
• Understanding the Evolution of World Business Cycles (2005) - cites 541
• Can Growth Options Explain the Trend in Idiosyncratic Risk? (2006) - cites 371
• Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004) - cites 321
• The information content of option-implied volatility for credit default swap valuation (2010) - cites 247
• The price of variance risk (2016) - cites 189
• Exploring Metropolitan Housing Price Volatility (2006) - cites 174
• Habit formation: a resolution of the equity premium puzzle? (2002) - cites 153
• Were the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression (1998) - cites 148
• A new historical database for the NYSE 1815 to 1925: Performance and predictability (2001) - cites 135
• An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility (2008) - cites 112
• A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability (2000) - cites 108
• Specification Analysis of Structural Credit Risk Models (2019) - cites 77
• Separating the Components of Default Risk: A Derivative-Based Approach (2014) - cites 46
• Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales (2016) - cites 46
• Liquidity and Volatility in the U.S. Treasury Market (2013) - cites 44
• Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles (2012) - cites 43
• Liquidity and volatility in the U.S. Treasury market (2020) - cites 32
• Do leveraged ETFs really amplify late-day returns and volatility? (2018) - cites 31
• Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading (2016) - cites 30
• Predicting the equity premium with the implied volatility spread (2020) - cites 26
• Correlated leverage and its ramifications (2014) - cites 24
• Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange (2018) - cites 19
• Risk and Return Trade-Off in the U.S. Treasury Market (2014) - cites 12
• Tractable Term Structure Models (2022) - cites 12
• Equilibrium analysis of volatility clustering (2004) - cites 12
• Economic Fundamentals, Capital Expenditures and Asset Dispositions (2017) - cites 9
• DETERMINANTS OF THE EXECUTION COSTS OF COMMON STOCK TRADES BY INDIVIDUAL INVESTORS (1986) - cites 7