Concepedia
Journal of Financial Economics · 2017 · 130 citations · 66 references
EconomicsFinancial EconomicsAsset PricingDerivative PricingBusinessEconomic AnalysisForward Premium PuzzleIntertemporal Portfolio ChoiceFinance
66
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert F. Engle · Econometrica · 1982 · 20.3K citations
Forecasting Methodology, Volatility Modeling, Engineering +17
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Steven L. Heston · Review of Financial Studies · 1993 · 9K citations
Currency Options, Option Pricing, Multivariate Stochastic Volatility +15
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Larry G. Epstein, Stanley E. Zin · Econometrica · 1989 · 4.4K citations
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
John Y. Campbell, Robert J. Shiller · Review of Financial Studies · 1988 · 3.9K citations
Empirical Finance, Expectation Formation, Economics +12
Stock Prices, Earnings, and Expected Dividends
Digital Access to Scholarship at Harvard (DASH) (Harvard University) · 2009 · 2.5K citations · Full text