Concepedia

Charles Cao

CC

Statistics

Publications

53

Citations

8.4K

H-Index

32

Active since

1992

Affiliations

Pennsylvania State University(Current)

University of Massachusetts Amherst

Rutgers, The State University of New Jersey

Texas A&M University

Seoul National University

Charles Cao is an author at Pennsylvania State University specializing in finance, business, and asset pricing.

Top concepts

FinanceBusinessAsset PricingFinancial EconomicsManagementMarket MicrostructureOption PricingEmpirical FinanceEconomicsMutual Funds

Publications per year

1992–2021

53

Publications

53

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 2.7K citations · Full text

Option Pricing, Multivariate Stochastic Volatility, Financial Economics +14

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 1.1K citations

Option Pricing, Multivariate Stochastic Volatility, Volatility Modeling +14

Inequality Constraints in the Univariate GARCH Model

Daniel B. Nelson, Charles Cao · Journal of Business and Economic Statistics · 1992 · 501 citations

Mathematical Programming, Volatility Modeling, Conditional Variances +11

Can Growth Options Explain the Trend in Idiosyncratic Risk?

Charles Cao, Timothy T. Simin, Jing Zhao · Review of Financial Studies · 2006 · 367 citations

Can hedge funds time market liquidity?

Charles Cao, Yong Chen, Bing Liang et al. · Journal of Financial Economics · 2013 · 313 citations · Full text

Empirical Finance, Liquidity, Time Market Liquidity +16

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