Concepedia

Option market trading activity and the estimation of the pricing kernel: A Bayesian approach

Giovanni Barone‐Adesi, Nicola Fusari, Antonietta Mira, Carlo Sala

Journal of Econometrics · 2019 · 27 citations · 45 references

DOI

Concepts

References

45

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

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

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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

, , +17

Probability and Measure.

PE, P. Billingsley · Journal of the American Statistical Association · 1996 · 6.7K citations

, , +16

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K citations

, , +14

A Bayesian Analysis of Some Nonparametric Problems

Thomas S. Ferguson · The Annals of Statistics · 1973 · 4.8K citations · Full text

, , +15