Crash Risk in Currency Returns

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

David S. Bates · Review of Financial Studies · 1996 · 2.4K citations

Business, Economics, Finance +17

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

Ravi Bansal, Amir Yaron · The Journal of Finance · 2000 · 1.4K citations · Full text

Business, Economics, Finance +16

An Empirical Investigation of Continuous‐Time Equity Return Models

Torben G. Andersen, Luca Benzoni, Jesper Lund · The Journal of Finance · 2002 · 941 citations · Full text

Business, Economics, Finance +17

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Robert F. Engle, Takatoshi Ito, Wenling Lin · Econometrica · 1990 · 863 citations · Full text

Social Sciences, Economics, Finance +17

Maximum likelihood estimation of stochastic volatility models

Yacine Aı̈t-Sahalia, Robert L. Kimmel · Journal of Financial Economics · 2006 · 569 citations

Business, Economics, Finance +14