Mustafa Chowdhury
Freddie Mac (United States)(US)
Publications by Year
Research Areas
Financial Markets and Investment Strategies, Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Stochastic processes and financial applications, Monetary Policy and Economic Impact
Most-Cited Works
- → The Relation between Aggregate Insider Transactions and Stock Market Returns(1993)60 cited
- → Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?(1997)57 cited
- → Implied Risk Aversion Parameter from Option Prices(1997)31 cited
- → Deterministic versus stochastic volatility: implications for option pricing models(1997)18 cited
- → Common volatility in major stock index futures markets(1996)12 cited
- → Fads and the Crash of '87(1993)9 cited
- → The effect of foreign ownership restrictions on stock price dynamics(1994)6 cited
- → Implied Volatility vs. GARCH: A Comparison of Forecasts(1995)5 cited
- → Information noise and stock return volatility: evidence from Germany(1996)3 cited