International Review of Economics & Finance · 2010 · 14 citations · 25 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisLiquidityLiquidity RiskMarket LiquiditySampling TechniquesVolatility AnalysisVolatility ModelingLiquidity ModelingLiquidity Risk EstimationTime Series Volatility ModelingVolatilityVolatility DecompositionVolatility Index ModelingVolatility Measurement ErrorVolatility Modelling
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Predicting Volatility in the Foreign Exchange Market
Philippe Jorion · The Journal of Finance · 1995 · 698 citations
The Informational Content of Implied Volatility
Linda Canina, Stephen Figlewski · Review of Financial Studies · 1993 · 673 citations