Modeling financial contagion using mutually exciting jump processes

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.9K citations

Natural Sciences, Mathematics, Probability Theory +15

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

Business, Economics, Finance +13

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

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

Quang Vuong · Econometrica · 1989 · 6K citations

Natural Sciences, Biostatistics, Econometrics +16