Stephen Figlewski

Finance · 2000–2015

A researcher in the Science corpus: 3 papers; trusts 5 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

• Finance — 30 citations into it; #7,398 of 10,518 by trust here, #4,732 by citations
• Economics and Econometrics — 13 citations into it; #15,991 of 23,481 by trust here, #14,505 by citations
• Accounting — 10 citations into it

Whom Stephen Figlewski trusts overall

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

1. Robert F. Engle
2. Darrell Duffie
3. Tim Bollerslev
4. Daniel B. Nelson
5. Leandro Saita
6. John C. Hull
7. N. Shephard
8. Jun Pan

Who trusts Stephen Figlewski overall

1. Shawkat Hammoudeh
2. Yuan Yuan
3. Tim Bollerslev
4. Yacine Aït-Sahalia
5. Song Song
6. M. Malik

Papers from Stephen Figlewski's perspective

Ordered by how strongly the researchers Stephen Figlewski 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. Generalized autoregressive conditional heteroskedasticity
3. The Impact of Jumps in Volatility and Returns
4. Volatility Risk Premiums Embedded in Individual Equity Options
5. Multi-Period Corporate Default Prediction With Stochastic Covariates
6. The Price of Correlation Risk: Evidence from Equity Options
7. Fitting and Testing Vast Dimensional Time-Varying Covariance Models
8. A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option
9. A GARCH Option Pricing Model with Filtered Historical Simulation
10. Volatility surfaces: theory, rules of thumb, and empirical evidence

Their papers

• Is the "Leverage Effect" a Leverage Effect? (2000) — 210 citations
• Modeling the Dynamics of Correlations Among Implied Volatilities (2015) — 60 citations
• Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions (2012) — 230 citations