An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

Business, Finance, Asset Pricing +16

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

Business, Economics, Finance +10

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

Business, Economics, Finance +17

The valuation of options for alternative stochastic processes

John C. Cox, Stephen A. Ross · Journal of Financial Economics · 1976 · 3K citations

Business, Economics, Finance +12

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

Business, Economics, Finance +17