Volatility (finance)

Field
Subfield
Domain
OpenAlex	C91602232

Smeal faculty

• Liang Peng - score 3.9
• Giang Nguyen - score 3.4
• Charles Cao - score 2.6
• Charles Whiteman - score 2.1
• Timothy T. Simin - score 2.1
• Joel M. Vanden - score 1.9
• Stephen Lenkey - score 1.5
• Dennis P. Sheehan - score 1.2
• Kate Wang - score 0.8
• Jingzhi Huang - score 0.7
• Eva Maria Steiner - score 0.6
• William Kracaw - score 0.6
• James A. Miles - score 0.6
• Lorna Eileen Hardin - score 0.5
• Fenghua Song - score 0.5

Papers

• Empirical Performance of Alternative Option Pricing Models (1997) - cites 2709
• International Business Cycles: World, Region, and Country-Specific Factors (2003) - cites 1205
• Were the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression (1999) - cites 664
• Can Growth Options Explain the Trend in Idiosyncratic Risk? (2006) - cites 368
• Formation of Low Volatility Organic Compounds and Secondary Organic Aerosol from Isoprene Hydroxyhydroperoxide Low-NO Oxidation (2015) - cites 268
• The information content of option-implied volatility for credit default swap valuation (2010) - cites 234
• Exploring Metropolitan Housing Price Volatility (2006) - cites 169
• Habit formation: a resolution of the equity premium puzzle? (2002) - cites 159
• A new historical database for the NYSE 1815 to 1925: Performance and predictability (2001) - cites 143
• A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability (2000) - cites 112
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation (2009) - cites 99
• Specification Analysis of Structural Credit Risk Models (2019) - cites 79
• Understanding the Evolution of World Business Cycles (2005) - cites 77
• Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models (2012) - cites 47
• Idiosyncratic Risk of House Prices: Evidence from 26 Million Home Sales (2016) - cites 44
• Can Growth Options Explain the Trend in Idiosyncratic Risk (2006) - cites 39
• Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles (2012) - cites 37
• Liquidity and volatility in the U.S. Treasury market (2020) - cites 36
• Do leveraged ETFs really amplify late-day returns and volatility? (2018) - cites 28
• Predicting the equity premium with the implied volatility spread (2020) - cites 26
• Correlated leverage and its ramifications (2014) - cites 21
• Exploring Metropolitan Housing Price Volatility (2003) - cites 19
• Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange (2019) - cites 18
• High-order ADI scheme for option pricing in stochastic volatility models (2016) - cites 17
• Information Quality and Options (2008) - cites 16
• Equilibrium analysis of volatility clustering (2004) - cites 12
• Economic Fundamentals, Capital Expenditures and Asset Dispositions (2019) - cites 10
• Were the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression (1998) - cites 9
• DETERMINANTS OF THE EXECUTION COSTS OF COMMON STOCK TRADES BY INDIVIDUAL INVESTORS (1986) - cites 7
• PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING (2006) - cites 5