Robert E. Whaley

Implied Volatility Functions: Empirical Tests

Efficient Analytic Approximation of American Option Values

The Investor Fear Gauge

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

The Dynamics of Stock Index and Stock Index Futures Returns

Understanding the VIX

Stock Market Structure and Volatility

Predicting stock market volatility: A new measure

Transaction costs and the small firm effect

Derivatives on Market Volatility

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

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