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Heston, Steven L.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
17,293 |
Total
Citations
376 |
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1.
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Intraday Patterns in the Cross-Section of Stock Returns
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Heston, Steven L.
University of Maryland - Department of Finance Korajczyk, Robert A.
Northwestern University - Kellogg School of Management Sadka, Ronnie
Boston College - Carroll School of Management
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Posted:
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17 Jun 09
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Last Revised:
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27 May 10
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3,086
(1,295)
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21
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Heston, Steven L.
University of Maryland - Department of Finance Korajczyk, Robert A.
Northwestern University - Kellogg School of Management Sadka, Ronnie
Boston College - Carroll School of Management
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21 Nov 09
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Last Revised:
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27 May 10
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429
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Return periodicity, Market Microstructure
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Heston, Steven L.
University of Maryland - Department of Finance Korajczyk, Robert A.
Northwestern University - Kellogg School of Management Sadka, Ronnie
Boston College - Carroll School of Management
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17 Jun 09
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Last Revised:
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27 May 10
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2,657
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Return periodicity, Market Microstructure
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2.
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Heston, Steven L.
University of Maryland - Department of Finance Nandi, Saikat
Federal National Mortgage Association (Fannie Mae)
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2,863
(1,478)
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121
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3.
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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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Posted:
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05 Feb 07
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Last Revised:
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13 Aug 09
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2,115
(2,581)
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21
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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647
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21
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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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05 Feb 07
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Last Revised:
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22 Feb 09
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1,468
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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
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4.
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A Closed-Form GARCH Option Valuation Model
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Heston, Steven L.
University of Maryland - Department of Finance Nandi, Saikat
Federal National Mortgage Association (Fannie Mae)
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Posted:
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28 Feb 00
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Last Revised:
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23 Jul 01
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1,783
(3,411)
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122
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Heston, Steven L.
University of Maryland - Department of Finance Nandi, Saikat
Federal National Mortgage Association (Fannie Mae)
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0
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Heston, Steven L.
University of Maryland - Department of Finance Nandi, Saikat
Federal National Mortgage Association (Fannie Mae)
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1,783
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122
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5.
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Heston, Steven L.
University of Maryland - Department of Finance Nandi, Saikat
Federal National Mortgage Association (Fannie Mae)
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1,408
(5,211)
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5
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volatility, options, hedge
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6.
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Heston, Steven L.
University of Maryland - Department of Finance Sadka, Ronnie
Boston College - Carroll School of Management
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1,214
(6,687)
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16
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7.
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Are You Trading Predictably?
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Hide Abstracts |
Versions (2)
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hide multiple versions |
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Heston, Steven L.
University of Maryland - Department of Finance Korajczyk, Robert A.
Northwestern University - Kellogg School of Management Sadka, Ronnie
Boston College - Carroll School of Management Thorson, Lewis D.
University of Washington - Foster School of Business
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Posted:
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05 Jun 10
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Last Revised:
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13 Apr 11
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1,133
(7,532)
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Heston, Steven L.
University of Maryland - Department of Finance Korajczyk, Robert A.
Northwestern University - Kellogg School of Management Sadka, Ronnie
Boston College - Carroll School of Management Thorson, Lewis D.
University of Washington - Foster School of Business
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0
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Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management Strategies
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Heston, Steven L.
University of Maryland - Department of Finance Korajczyk, Robert A.
Northwestern University - Kellogg School of Management Sadka, Ronnie
Boston College - Carroll School of Management Thorson, Lewis D.
University of Washington - Foster School of Business
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05 Jun 10
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Last Revised:
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05 Sep 10
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1,133
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Trading, Microstructure, Periodicity, Anomaly
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8.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Heston, Steven L.
University of Maryland - Department of Finance
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22 Jan 10
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Last Revised:
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07 Jun 12
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876
(11,394)
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2
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Pricing kernel, stochastic volatility, overreaction, variance risk
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9.
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Common Patterns of Predictability in the Cross-Section of International Stock Returns
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Heston, Steven L.
University of Maryland - Department of Finance Sadka, Ronnie
Boston College - Carroll School of Management
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Posted:
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20 Mar 07
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Last Revised:
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20 Mar 08
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769
(13,963)
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Heston, Steven L.
University of Maryland - Department of Finance Sadka, Ronnie
Boston College - Carroll School of Management
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438
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International Stock Returns, Market Integration, Behavioral Finance
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Heston, Steven L.
University of Maryland - Department of Finance Sadka, Ronnie
Boston College - Carroll School of Management
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331
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10.
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Heston, Steven L.
University of Maryland - Department of Finance Sadka, Ronnie
Boston College - Carroll School of Management
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700
(16,003)
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1
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Momentum, long-run reversal, periodic structure of stock returns
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11.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Heston, Steven L.
University of Maryland - Department of Finance Jacobs, Kris
University of Houston - C.T. Bauer College of Business
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533
(23,431)
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40
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GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit
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12.
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Heston, Steven L.
University of Maryland - Department of Finance Wessels, Roberto E.
University of Texas at Austin - Red McCombs School of Business Rouwenhorst, K. Geert
Yale School of Management - International Center for Finance
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479
(27,050)
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23
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European equity markets, CAPM, 3-factor model
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13.
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Point Shaving in College Basketball: A Cautionary Tale for Forensic Economics
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Bernhardt, Dan
University of Illinois at Urbana-Champaign - Department of Economics Heston, Steven L.
University of Maryland - Department of Finance
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Posted:
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26 Jul 07
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Last Revised:
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27 Jan 10
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197
(75,942)
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4
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Bernhardt, Dan
University of Illinois at Urbana-Champaign - Department of Economics Heston, Steven L.
University of Maryland - Department of Finance
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2
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4
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Heston, Steven L.
University of Maryland - Department of Finance Bernhardt, Dan
University of Illinois at Urbana-Champaign - Department of Economics
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| Posted: |
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26 Jul 07
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Last Revised:
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29 Aug 08
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195
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4
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pointshaving, gambling, forensic economics
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14.
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Heston, Steven L.
University of Maryland - Department of Finance
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137
(105,937)
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15.
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Camara, Antonio
Oklahoma State University, Stillwater - College of Business Administration Heston, Steven L.
University of Maryland - Department of Finance
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16.
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Heston, Steven L.
University of Maryland - Department of Finance Loewenstein, Mark
University of Maryland - Robert H. Smith School of Business Willard, Gregory A.
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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17.
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Heston, Steven L.
University of Maryland - Department of Finance Wessels, Roberto E.
University of Texas at Austin - Red McCombs School of Business Rouwenhorst, K. Geert
Yale School of Management - International Center for Finance
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capital market integration, international equity markets, factor models
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18.
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Heston, Steven L.
University of Maryland - Department of Finance Rouwenhorst, K. Geert
Yale School of Management - International Center for Finance
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international equity markets, portfolio diversification
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19.
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Heston, Steven L.
University of Maryland - Department of Finance
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20.
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Heston, Steven L.
University of Maryland - Department of Finance
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21.
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Heston, Steven L.
University of Maryland - Department of Finance
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