The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Alternative models for stock price dynamics
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Citations
Cites
An introduction to probability theory and its applications
(1958) · Journal of the Franklin Institute · doi:10.1016/0016-0032(58)90688-4 · Cited by 29,269
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Numerical solution of stochastic differential equations
(2016) · doi:10.5194/gmd-2016-45-rc1 · Cited by 5,002
Vaart, A. W. V. D. (1998) · doi:10.1017/cbo9780511802256 · Cited by 4,159
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Specification Analysis of Affine Term Structure Models
Dai, Q., & Singleton, K. J. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00278 · Cited by 1,816
The jump-risk premia implicit in options: evidence from an integrated time-series study
Pan, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00088-5 · Cited by 1,656
The Impact of Jumps in Volatility and Returns
Eraker, B., Johannes, M., & Polson, N. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00566 · Cited by 1,462
Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Stock Market Volatility and Macroeconomic Fundamentals
Engle, R. F., Ghysels, E., & Sohn, B. (2013) · Review of Economics and Statistics · doi:10.1162/rest_a_00300 · Cited by 1,117
Self-citationDoes Net Buying Pressure Affect the Shape of Implied Volatility Functions?
Bollen, N. P. B., & Whaley, R. E. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00647.x · Cited by 987
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Bakshi, G., & Kapadia, N. (2003) · Review of Financial Studies · doi:10.1093/rfs/hhg002 · Cited by 933
The Price of Political Uncertainty: Theory and Evidence from the Option Market
KELLY, B., PÁSTOR, Ľ., & VERONESI, P. (2016) · The Journal of Finance · doi:10.1111/jofi.12406 · Cited by 760
Metadata
- Authors
- Chernov, M., Ronald Gallant, A., Ghysels, E., & Tauchen, G.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2003-09
- Volume
- 116
- Issue
- 1-2
- Pages
- 225-257
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2083685602
- Cited by
- 889
- References
- 30
- FWCI
- 85.01
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Alternative models for stock price dynamics. https://app.cochat.ai/papers/10.1016/s0304-4076(03)00108-8
- The paper
- Chernov, M., Ronald Gallant, A., Ghysels, E., & Tauchen, G. (2003). Alternative models for stock price dynamics. Journal of Econometrics. https://doi.org/10.1016/s0304-4076(03)00108-8
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.
