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A model of discontinuous interest rate behavior, yield curves, and volatility

Heston, Steven L. - In: Review of derivatives research 10 (2007) 3, pp. 205-225

Persistent link: https://www.econbiz.de/10003748108

A closed-form GARCH option valuation model

Heston, Steven L.; Nandi, Saikat - In: The review of financial studies 13 (2000) 3, pp. 585-625

Persistent link: https://www.econbiz.de/10001499745

A closed-form GARCH option pricing model

Heston, Steven L.; Nandi, Saikat - 1997

Persistent link: https://www.econbiz.de/10000985996

The structure of international stock returns and the integration of capital markets

Heston, Steven L. - In: Journal of empirical finance 2 (1995) 3, pp. 173-197

Persistent link: https://www.econbiz.de/10001203347

A two-factor term structure model under GARCH volatility

Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95

Persistent link: https://www.econbiz.de/10001782469

Capturing option anomalies with a variance-dependent pricing Kernel

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: The review of financial studies 26 (2013) 8, pp. 1962-2006

Persistent link: https://www.econbiz.de/10010207293

Seasonality in the cross-section of stock returns

Heston, Steven L.; Sadka, Ronnie - In: Journal of financial economics 87 (2008) 2, pp. 418-445

Persistent link: https://www.econbiz.de/10003629063

News versus sentiment : predicting stock returns from news stories

Heston, Steven L.; Sinha, Nitish R. - 2016

This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news,...

Persistent link: https://www.econbiz.de/10011500414

A spanning series approach to options

Heston, Steven L.; Rossi, Alberto G. - In: Review of asset pricing studies 7 (2017) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10011734545