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Economics and Finance

D-Index
58
Citations
22192
World Ranking
890
National Ranking
558

Overview

Robert E. Whaley is affiliated with Vanderbilt University in the United States and has contributed extensively to the field of Economics, Econometrics, and Finance. Their body of work includes a focus on Finance and Economics and Econometrics, with additional contributions in Strategy and Management, Information Systems, and Accounting.

Their research topics cover a range of areas including Financial Markets and Investment Strategies, Market Dynamics and Volatility, Complex Systems and Time Series Analysis, Financial Reporting and Valuation Research, Financial Risk and Volatility Modeling, Blockchain Technology Applications and Security, and Stochastic Processes and Financial Applications.

Notable recent publications by Robert E. Whaley include:

  • Levered and Inverse Exchange-Traded Products: Blessing or Curse? (2020) - Financial Analysts Journal
  • Effects of nondiscretionary trading on futures prices (2022) - Journal of Futures Markets
  • Levered and inverse VIX ETP option contract adjustments: No harm, no foul? (2020) - Accounting and Finance
  • Spot Bitcoin ETFs: The Struggle Was Worth It (2025) - Financial Analysts Journal
  • Levered and Inverse ETPs: Blessing or Curse? (2020) - SSRN Electronic Journal

Frequent co-authors collaborating with Whaley include Colby J. Pessina, Michael O'Neill, Angel Tengulov, and Andrew M. Hornback.

Their work has appeared in several publication venues, with multiple papers published in the SSRN Electronic Journal and Financial Analysts Journal, as well as contributions to the Journal of Futures Markets and Accounting and Finance.

Best Publications

  • Implied Volatility Functions: Empirical Tests

    Bernard Dumas;Jeff Fleming;Robert E. Whaley

  • Efficient Analytic Approximation of American Option Values

    Giovanni Barone-Adesi;Robert E. Whaley

  • The Investor Fear Gauge

    Robert E. Whaley

  • The Dynamics of Stock Index and Stock Index Futures Returns

    Hans R. Stoll;Robert E. Whaley

  • Does Net Buying Pressure Affect the Shape of Implied Volatility Functions

    Nicolas P. B. Bollen;Robert E. Whaley

  • Transaction costs and the small firm effect

    Hans R. Stoll;Robert E. Whaley

  • Understanding the VIX

    Robert E Whaley

  • Stock Market Structure and Volatility

    Hans R. Stoll;Robert E. Whaley

  • Predicting stock market volatility: A new measure

    Jeff Fleming;Barbara Ostdiek;Robert E. Whaley

  • Derivatives on Market Volatility: Hedging Tools Long Overdue

    Robert E. Whaley

  • Trading costs and the relative rates of price discovery in stock, futures, and option markets

    Jeff Fleming;Barbara Ostdiek;Robert E. Whaley

  • Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

    Jens A. Stephan;Robert E. Whaley

  • An Anatomy of the “S&P Game”: The Effects of Changing the Rules

    Messod D. Beneish;Robert E. Whaley

  • Commodity Index Investing and Commodity Futures Prices

    Hans R. Stoll;Robert E. Whaley

  • Valuation of American call options on dividend-paying stocks: Empirical tests

    Robert E. Whaley

  • Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?

    Merton H. Miller;Jayaram Muthuswamy;Robert E. Whaley

  • Market volatility prediction and the efficiency of the S & P 100 index option market

    Campbell R. Harvey;Robert E. Whaley

  • On the valuation of American call options on stocks with known dividends

    Robert E. Whaley

  • Efficient Analytic Approximation of American Option Values

    Unknown

  • Regime switching in foreign exchange rates : Evidence from currency option prices

    Nicolas P.B. Bollen;Stephen F. Gray;Stephen F. Gray;Robert E. Whaley

  • Program Trading and Expiration-Day Effects

    Hans R. Stoll;Robert E. Whaley

Frequent Co-Authors

Hans R. Stoll
Hans R. Stoll Vanderbilt University
David G. Robinson
David G. Robinson Heidelberg University
Messod Daniel Beneish
Messod Daniel Beneish Indiana University
Campbell R. Harvey
Campbell R. Harvey Duke University
Merton H. Miller
Merton H. Miller University of Chicago

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