Garland B. Durham

Finance · 2002–2007

A researcher in the Science corpus: 4 papers; trusts 40 researchers and is trusted by 42 researchers here, as inferred from the citation graph.

Subfields

• Finance — 43 citations into it; #572 of 10,518 by trust here, #2,034 by citations
• Economics and Econometrics — 28 citations into it; #2,291 of 23,481 by trust here, #11,156 by citations
• Statistics and Probability — 10 citations into it
• Probabilistic & Bayesian Methods — 8 citations into it
• Artificial Intelligence — 5 citations into it

Whom Garland B. Durham trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Christopher S. Jones
2. N. Shephard
3. Kenneth J. Singleton
4. Torben G. Andersen
5. Ole E. Barndorff-Nielsen
6. Michael K. Pitt
7. Bjørn Eraker
8. Siddhartha Chib
9. Francis A. Longstaff
10. Jeremy Berkowitz

Who trusts Garland B. Durham overall

1. N. Shephard
2. Jun Yu
3. S. J. Koopman
4. Osnat Stramer
5. Omiros Papaspiliopoulos
6. Peter C. B. Phillips
7. Chenxu Li
8. P. de Valpine
9. Edward L. Ionides
10. Sofia Ramos

Papers from Garland B. Durham's perspective

Ordered by how strongly the researchers Garland B. Durham trusts endorse each paper. Same corpus, a different order for every researcher.

1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
2. Specification Analysis of Affine Term Structure Models
3. Generalized autoregressive conditional heteroskedasticity
4. The Pricing of Options and Corporate Liabilities
5. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
6. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
7. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
8. A Theory for the Term Structure of Interest Rates
9. MODELING AND FORECASTING REALIZED VOLATILITY
10. Estimation of affine asset pricing models using the empirical characteristic function

Their papers

• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (2006) — 96 citations
• Likelihood-based specification analysis of continuous-time models of the short-term interest rate (2003) — 117 citations
• SV mixture models with application to S&P 500 index returns ☆ (2007) — 88 citations
• Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002) — 489 citations