Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.2K citations

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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

Option Pricing, Multivariate Stochastic Volatility, Financial Economics +14

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 2.4K citations

Engineering, Machine Learning, Field Experiment +23