On time-scaling of risk and the square-root-of-time rule

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

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

Computing, Economics, Econometrics +15

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

Social Sciences, Economics, Finance +16

On estimating the expected return on the market

Robert C. Merton · Journal of Financial Economics · 1980 · 2.9K citations

Business, Economics, Finance +12

Pricing Derivatives on Financial Securities Subject to Credit Risk

Robert A. Jarrow, Stuart M. Turnbull · The Journal of Finance · 1995 · 2K citations

Business, Economics, Finance +17

The jump-risk premia implicit in options: evidence from an integrated time-series study

Jun Pan · Journal of Financial Economics · 2002 · 1.8K citations

Business, Economics, Finance +14