SSRN Electronic Journal · 2005 · 276 citations · 25 references
BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsStatisticsAsset Pricing EmpiricsAsset Return ModelingCapital MarketsHypothesis TestingMarket RiskVolatility ModelingAsset Pricing TestsAsymptotic NormalityJump DetectionMicrostructureMicrostructure NoiseMonte Carlo AnalysisNoise-corrected EstimationPrice Jump Detection
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Specification Tests in Econometrics
Jerry A. Hausman · Econometrica · 1978 · 18.4K citations
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
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Peter K. Clark · Econometrica · 1973 · 2.8K citations · Full text