David S. Bates
Henry B. Tippie College of Business
Department of Finance
University of Iowa
Iowa City, IA 52242-1000
NBER Program Affiliations:
NBER Affiliation: Research Associate
Institutional Affiliation: University of Iowa
NBER Working Papers and Publications
|February 2016||How Crashes Develop: Intradaily Volatility and Crash Evolution|
Published: DAVID S. BATES, 2019. "How Crashes Develop: Intradaily Volatility and Crash Evolution," The Journal of Finance, vol 74(1), pages 193-238.
|April 2009||U.S. Stock Market Crash Risk, 1926-2006|
|May 2003||Maximum Likelihood Estimation of Latent Affine Processes|
Published: Bates, David S. "Maximum Likelihood Estimation Of Latent Affine Processes," Review of Financial Studies, 2006, v19(3,Fall), 909-965.
|October 2001||The Market for Crash Risk|
Published: Bates, David S. "The Market for Crash Risk." Journal of Economic Dynamics and Control 32, 7 (July 2008): 2291-2321.
|January 2000||Implications of Managed Care for Teaching Hospitals Comparisons of Traditional and Managed Care Medical Services within a Single Institution|
with David Meltzer, Frederick L. Hiltz
in The Changing Hospital Industry: Comparing Not-for-Profit and For-Profit Institutions, David M. Cutler, editor
|January 1999||Financial Markets' Assessment of EMU|
Published: Carnegie-Rochester Conference Series on Public Policy, Vol. 51, no. 1(1999): 229-269.
|April 1998||Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash|
with Roger Craine: w6505
Published: Journal of Money, Credit and Banking, Vol. 31, no. 2 (1999): 248-272.
|January 1997||Post-'87 Crash Fears in S&P 500 Futures Options|
Published: Journal of Econometrics, Vol. 94, nos. 1/2 (2000): 181-238.
|May 1995||Testing Option Pricing Models|
Published: in G.S. Maddale and C.R. Rao, editers, Handbook of Statistics: Statistical Methods in Finance, Vol. 14, 1996, pp. 567-611.
|December 1993||Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options|
Published: Review of Financial Studies, Vol. 9, no. 1 (1996): 69-107.