A delay financial model with stochastic volatility; martingale method

Long-Term Memory in Stock Market Prices

Andrew W. Lo · Econometrica · 1991 · 1.7K citations · Full text

Social Sciences, Economics, Finance +17

Recovering Probability Distributions from Option Prices

Jens Carsten Jackwerth, Mark Rubinstein · The Journal of Finance · 1996 · 1.1K citations · Full text

Business, Economics, Finance +17

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

Vedat Akgiray · The Journal of Business · 1989 · 861 citations

Business, Economics, Finance +17

Nonlinear Dynamics and Stock Returns

José Scheinkman, Blake LeBaron · The Journal of Business · 1989 · 782 citations

Business, Economics, Finance +17

Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978

Mark Rubinstein · The Journal of Finance · 1985 · 638 citations

Business, Economics, Finance +17