H-Index & Metrics Best Publications

H-Index & Metrics

Discipline name H-index Citations Publications World Ranking National Ranking
Economics and Finance D-index 49 Citations 19,806 78 World Ranking 747 National Ranking 477

Overview

What is he best known for?

The fields of study he is best known for:

  • Finance
  • Microeconomics
  • Financial economics

Robert E. Whaley mainly investigates Financial economics, Volatility, Stock market, Futures contract and Stock market index. He studies Financial economics, namely Volatility index. His Volatility study contributes to a more complete understanding of Econometrics.

His studies deal with areas such as Stock exchange, Algorithmic trading and Open outcry as well as Stock market. His biological study spans a wide range of topics, including Yield, Finite difference methods for option pricing, Put option, Mathematical economics and Commodity. As part of one scientific family, he deals mainly with the area of Stock market index, narrowing it down to issues related to the Stock market bubble, and often Stock index futures.

His most cited work include:

  • Implied Volatility Functions: Empirical Tests (950 citations)
  • Efficient Analytic Approximation of American Option Values (928 citations)
  • The Dynamics of Stock Index and Stock Index Futures Returns (689 citations)

What are the main themes of his work throughout his whole career to date?

His main research concerns Financial economics, Futures contract, Econometrics, Volatility and Monetary economics. His specific area of interest is Financial economics, where Robert E. Whaley studies Valuation of options. The Futures contract study combines topics in areas such as Stock market index, Arbitrage and Speculation.

Robert E. Whaley combines subjects such as Market maker and Bid–ask spread with his study of Econometrics. In general Monetary economics study, his work on Market liquidity often relates to the realm of Index fund, thereby connecting several areas of interest. His Implied volatility research focuses on Volatility smile and how it connects with Volatility swap.

He most often published in these fields:

  • Financial economics (46.23%)
  • Futures contract (32.08%)
  • Econometrics (20.75%)

What were the highlights of his more recent work (between 2010-2021)?

  • Futures contract (32.08%)
  • Financial economics (46.23%)
  • Volatility (19.81%)

In recent papers he was focusing on the following fields of study:

Futures contract, Financial economics, Volatility, Monetary economics and Stock options are his primary areas of study. His Futures contract study combines topics from a wide range of disciplines, such as Alpha Indexes, Econometrics, Investment management, Index and Speculation. His Forward market study in the realm of Financial economics interacts with subjects such as Project portfolio management.

His research in the fields of Implied volatility overlaps with other disciplines such as Research center and Popularity. His Implied volatility research is multidisciplinary, incorporating perspectives in Volatility smile and Realized variance. His Monetary economics research incorporates themes from Volatility index, Call option, Corporate action and Market price.

Between 2010 and 2021, his most popular works were:

  • Trading Volatility: At What Cost? (52 citations)
  • Using Option Prices to Infer Overpayments and Synergies in M&A Transactions (46 citations)
  • Commodity Index Investing: Speculation or Diversification? (34 citations)

In his most recent research, the most cited papers focused on:

  • Finance
  • Microeconomics
  • Futures contract

His primary scientific interests are in Futures contract, Monetary economics, Volatility, Financial economics and Volatility index. His Futures contract research is multidisciplinary, relying on both Commission, Index, Speculation, Diversification and Commodity. His research integrates issues of Call option, Market price and Shareholder in his study of Monetary economics.

His Volatility study frequently intersects with other fields, such as Forward market. Financial economics is frequently linked to Cash in his study. Many of his studies on Volatility index involve topics that are commonly interrelated, such as Contango.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Implied Volatility Functions: Empirical Tests

Bernard Dumas;Jeff Fleming;Robert E. Whaley.
Journal of Finance (1998)

1677 Citations

Efficient Analytic Approximation of American Option Values

Giovanni Barone-Adesi;Robert E. Whaley.
Journal of Finance (1987)

1589 Citations

The Dynamics of Stock Index and Stock Index Futures Returns

Hans R. Stoll;Robert E. Whaley.
Journal of Financial and Quantitative Analysis (1990)

1221 Citations

The Investor Fear Gauge

Robert E. Whaley.
The Journal of Portfolio Management (2000)

1058 Citations

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions

Nicolas P. B. Bollen;Robert E. Whaley.
Journal of Finance (2004)

903 Citations

Transaction costs and the small firm effect

Hans R. Stoll;Robert E. Whaley.
Journal of Financial Economics (1983)

846 Citations

Stock Market Structure and Volatility

Hans R. Stoll;Robert E. Whaley.
Review of Financial Studies (1990)

787 Citations

Understanding the VIX

Robert E Whaley.
The Journal of Portfolio Management (2009)

681 Citations

Predicting stock market volatility: A new measure

Jeff Fleming;Barbara Ostdiek;Robert E. Whaley.
Journal of Futures Markets (1995)

651 Citations

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

Jens A. Stephan;Robert E. Whaley.
Journal of Finance (1990)

646 Citations

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