Stewart Mayhew : Citation Profile


Are you Stewart Mayhew?

Cornerstone Research

6

H index

5

i10 index

247

Citations

RESEARCH PRODUCTION:

6

Articles

2

Papers

RESEARCH ACTIVITY:

   17 years (1995 - 2012). See details.
   Cites by year: 14
   Journals where Stewart Mayhew has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 1 (0.4 %)

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   Permalink: http://citec.repec.org/pma1075
   Updated: 2020-10-17    RAS profile: 2011-06-30    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Stewart Mayhew.

Is cited by:

McAleer, Michael (9)

Bernales, Alejandro (7)

Guidolin, Massimo (6)

Foucault, Thierry (5)

Kräussl, Roman (5)

Christoffersen, Peter (5)

Cespa, Giovanni (5)

Stork, Philip (5)

Fahlenbrach, Ruediger (3)

Nikitopoulos-Sklibosios, Christina (3)

Powell, Robert (3)

Cites to:

Foucault, Thierry (3)

Scholes, Myron (2)

Back, Kerry (1)

Scheinkman, Jose (1)

Cao, Charles (1)

Jackwerth, Jens (1)

Longstaff, Francis (1)

Kapadia, Nikunj (1)

Jorion, Philippe (1)

Chakravarty, Sugato (1)

Kandel, Eugene (1)

Main data


Where Stewart Mayhew has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis2
Journal of Finance2

Recent works citing Stewart Mayhew (2020 and 2019)


YearTitle of citing document
2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2020Asymmetric signals and skewness. (2020). Zhen, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:32-42.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020Biased information weight processing in stock markets. (2020). Langer, Thomas ; Mohrschladt, Hannes. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:89-106.

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2019De-Leverage and illiquidity contagion. (2019). Zhu, Ning ; Liu, Yu-Jane. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:1-18.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2019Belief heterogeneity in the option markets and the cross-section of stock returns. (2019). Zhao, Yanhui ; Borochin, Paul. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:9.

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2019The diminishing hedging role of crude oil: Evidence from time varying financialization. (2019). Sharma, Shahil ; Rodriguez, Ivan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19301392.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2019Implied volatility and the cross section of stock returns in the UK. (2019). Agarwal, Vineet ; Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:271-286.

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2019The intraday dynamics of bitcoin. (2019). Wolfe, Simon ; Urquhart, Andrew ; McGroarty, Frank ; Eross, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:71-81.

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2020LIMITS OF ARBITRAGE, RISK-NEUTRAL SKEWNESS, AND INVESTOR SENTIMENT. (2020). Chang, Bi-Juan ; Feng, Shih-Ping . In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:14:y:2020:i:2:p:61-71.

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2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2474-2494.

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2019Is trading in the shortest-term index options profitable?. (2019). Pan, Ging-Ginq ; Wu, Tu-Cheng ; Shiu, Yung-Ming. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9147-9.

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2020Valuing American-style options under the CEV model: an integral representation based method. (2020). Dias, Jose Carlos ; Cruz, Aricson. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09157-w.

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2020A note on options and bubbles under the CEV model: implications for pricing and hedging. (2020). Cruz, Aricson ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-019-09164-x.

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2020Stock price prediction using principal components. (2020). Ghorbani, Mahsa. In: PLOS ONE. RePEc:plo:pone00:0230124.

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2019Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model. (2019). Roy, Preeti ; Siddiqui, Saif . In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:46:y:2019:i:3:d:10.1007_s40622-019-00218-5.

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2019Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:02.

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2019Volatility index and the return–volatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1348-1359.

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2019A smiling bear in the equity options market and the cross‐section of stock returns. (2019). Kim, Baeho ; Park, Haehean ; Shim, Hyeongsop. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1360-1382.

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2019How do US options traders “smirk” on China? Evidence from FXI options. (2019). Li, Jianhui ; Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1450-1470.

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2019Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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2020Informed options trading on the implied volatility surface: A cross‐sectional approach. (2020). Kim, Dahea ; Park, Haehean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:776-803.

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2020Volatility as an asset class: Holding VIX in a portfolio. (2020). Doran, James S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:841-859.

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Works by Stewart Mayhew:


YearTitleTypeCited
1995 The Allocation of Informed Trading across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements. In: Journal of Finance.
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article33
1999Book Reviews In: Journal of Finance.
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article0
2002Risk-Neutral Skewness: Evidence from Stock Options In: Journal of Financial and Quantitative Analysis.
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article95
2006Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon In: Journal of Financial and Quantitative Analysis.
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article76
2012Equity trading and the allocation of market data revenue In: Finance and Economics Discussion Series.
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paper9
2009Microstructural biases in empirical tests of option pricing models In: Review of Derivatives Research.
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article15
2010Ex-dividend Arbitrage in Option Markets In: Review of Financial Studies.
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article4
2000Another Look at Option Listing Effects In: Finance.
[Full Text][Citation analysis]
paper15

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