Estimation of Stochastic Volatility Models by Nonparametric Filtering

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

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

Business, Economics, Finance +17

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

Business, Economics, Finance +17

Large sample estimation and hypothesis testing

Whitney K. Newey, Daniel McFadden · RePEc: Research Papers in Economics · 1986 · 2.2K citations

Natural Sciences, Economics, Mathematics +17

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 1.2K citations

Business, Economics, Finance +12