David S. Bates

University of Iowa - Department of Finance

Associate Professor of Finance

Iowa City, IA 52242-1000

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

10

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1,181

CITATIONS
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SSRN RANKINGS

Top 929

in Total Papers Citations

379

Scholarly Papers (10)

1.
Downloads 370 ( 78,654)
Citation 29

The Market for Crash Risk

AFA 2003 Washington, DC Meetings
Number of pages: 48 Posted: 30 Sep 2002
David S. Bates
University of Iowa - Department of Finance
Downloads 322 (91,543)
Citation 2

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The Market for Crash Risk

NBER Working Paper No. w8557
Number of pages: 49 Posted: 18 Oct 2001 Last Revised: 01 Jan 2010
David S. Bates
University of Iowa - Department of Finance
Downloads 48 (397,131)
Citation 59

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2.

Post-'87 Crash Fears in S&P 500 Futures Options

NBER Working Paper No. w5894
Number of pages: 60 Posted: 18 Jul 2000 Last Revised: 05 Oct 2010
David S. Bates
University of Iowa - Department of Finance
Downloads 172 (171,875)
Citation 400

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3.
Downloads 163 (180,036)
Citation 21

Testing Option Pricing Models

NBER Working Paper No. w5129
Number of pages: 75 Posted: 29 Jun 2000 Last Revised: 30 Jul 2010
David S. Bates
University of Iowa - Department of Finance
Downloads 163 (180,244)
Citation 46

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Testing Option Pricing Models

Posted: 10 Oct 1998
David S. Bates
University of Iowa - Department of Finance

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4.

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Thephlx Deutschemark Options

NBER Working Paper No. w4596
Number of pages: 56 Posted: 04 Feb 2001 Last Revised: 27 Jul 2010
David S. Bates
University of Iowa - Department of Finance
Downloads 143 (200,725)
Citation 366

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5.
Downloads 135 (210,232)
Citation 4

Financial Markets' Assessment of Emu

Number of pages: 43 Posted: 05 May 1999
David S. Bates
University of Iowa - Department of Finance
Downloads 109 (248,100)
Citation 5

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Financial Markets' Assessment of Emu

NBER Working Paper No. w6874
Number of pages: 43 Posted: 29 Aug 2000 Last Revised: 17 Apr 2008
David S. Bates
University of Iowa - Department of Finance
Downloads 26 (495,489)

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How Crashes Develop: Intradaily Volatility and Crash Evolution

Journal of Finance, Forthcoming
Number of pages: 63 Posted: 17 Feb 2016 Last Revised: 18 Jan 2018
David S. Bates
University of Iowa - Department of Finance
Downloads 53 (379,615)

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crashes, volatility jumps, S&P 500 futures

How Crashes Develop: Intradaily Volatility and Crash Evolution

NBER Working Paper No. w22028
Number of pages: 51 Posted: 01 Mar 2016
David S. Bates
University of Iowa - Department of Finance
Downloads 13 (578,148)
Citation 1

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7.

U.S. Stock Market Crash Risk, 1926-2006

NBER Working Paper No. w14913
Number of pages: 57 Posted: 29 Apr 2009 Last Revised: 27 May 2009
David S. Bates
University of Iowa - Department of Finance
Downloads 63 (343,774)
Citation 13

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8.

Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash

NBER Working Paper No. w6505
Number of pages: 42 Posted: 11 Jun 2000 Last Revised: 08 Apr 2008
David S. Bates and Roger Craine
University of Iowa - Department of Finance and University of California, Berkeley - Department of Economics
Downloads 35 (439,304)
Citation 3

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Maximum Likelihood Estimation of Latent Affine Processes

NBER Working Paper No. w9673
Number of pages: 38 Posted: 11 May 2003 Last Revised: 14 May 2003
David S. Bates
University of Iowa - Department of Finance
Downloads 34 (453,938)
Citation 68

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Maximum Likelihood Estimation of Latent Affine Processes

The Review of Financial Studies, Vol. 19, Issue 3, pp. 909-965, 2006
Posted: 29 Feb 2008
David S. Bates
University of Iowa - Department of Finance

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10.

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutschemark Options

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1
Posted: 22 Aug 1998
David S. Bates
University of Iowa - Department of Finance

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