Journal of Economics and Business · 2020 · 38 citations · 28 references
BusinessEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsAsset Pricing EmpiricsAsset Return ModelingRisk-return AnalysisStochastic VolatilityVolatility AnalysisVolatility ModelingFinancial Market VolatilityJump-diffusion Volatility ModelsReit Return PredictabilityReit VolatilityTime-varying Volatility Dynamics
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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
A Simple Approximate Long-Memory Model of Realized Volatility
Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations