The DOI matches its Crossref record; 20 of the 20 references it cites were found in a registry or an index.
Implied ARCH models from options prices
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Self-citationThe Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
The Pricing of Options on Assets with Stochastic Volatilities
HULL, J., & WHITE, A. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb02568.x · Cited by 3,807
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,593
The valuation of options for alternative stochastic processes
Cox, J. C., & Ross, S. A. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90023-4 · Cited by 2,934
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987) · Econometrica · doi:10.2307/1913242 · Cited by 2,469
Self-citationModelling the persistence of conditional variances
Engle, R. F., & Bollerslev, T. (1986) · Econometric Reviews · doi:10.1080/07474938608800095 · Cited by 2,058
Self-citationOptions: A Monte Carlo approach
Boyle, P. P. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90005-8 · Cited by 1,336
Cited by
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Stock market volatility and the business cycle
Hamilton, J. D., & Lin, G. (1996) · Journal of Applied Econometrics · doi:10.1002/(sici)1099-1255(199609)11:5<573::aid-jae413>3.0.co;2-t · Cited by 773
Option valuation with conditional skewness
Christoffersen, P., Heston, S., & Jacobs, K. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.01.010 · Cited by 281
Metadata
- Authors
- Engle, R. F., & Mustafa, C.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1992-04
- Volume
- 52
- Issue
- 1-2
- Pages
- 289-311
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2083409253
- Cited by
- 294
- References
- 20
- FWCI
- 15.88
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Implied ARCH models from options prices. https://app.cochat.ai/papers/10.1016/0304-4076(92)90074-2
- The paper
- Engle, R. F., & Mustafa, C. (1992). Implied ARCH models from options prices. Journal of Econometrics. https://doi.org/10.1016/0304-4076(92)90074-2
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
