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2. Dynamic portfolio selection with process control. (2006). Zhao, Yonggan ; MacLean, Leonard ; Ziemba, William.
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3. There is a risk-return trade-off after all. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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4. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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5. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
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6. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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7. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
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8. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
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9. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
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10. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
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11. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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12. Maximum Likelihood Estimation of Latent Affine Processes. (2003). Bates, David S..
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13. Transmission of information across international equity markets. (2003). Wongswan, Jon.
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14. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
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15. Spectral GMM estimation of continuous-time processes. (2003). Viceira, Luis ; Chacko, George .
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16. Simulation-based exact jump tests in models with conditional heteroskedasticity. (2003). Khalaf, Lynda ; Saphores, Jean-Daniel ; Bilodeau, Jean-Francois.
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17. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions. (2003). Ghysels, Eric ; Florens, Jean-Pierre ; Chernov, Mikhail ; Carrasco, Marine.
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18. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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19. Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps. (2002). Chourdakis, Kyriakos.
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20. Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps. (2002). Chourdakis, Kyriakos.
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21. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
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22. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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23. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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24. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
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1. Hermite polynomial based expansion of European option prices. (2014). Xiu, Dacheng.
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2. Minimum density power divergence estimator for diffusion processes. (2013). Lee, Sangyeol ; Song, Junmo.
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3. Parameter estimation for multivariate diffusion systems. (2013). Varughese, Melvin M..
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4. Local M-estimation for jump-diffusion processes. (2012). Zhang, Li Xin ; Wang, Yunyan ; Tang, Mingtian .
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5. Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms. (2011). Singer, Hermann.
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6. Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations. (2009). Lubrano, Michel ; Hadri, Kaddour ; Bu, Ruijun ; Giet, Ludovic .
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7. Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme. (2009). Markellos, Raphael ; Daskalakis, George ; Psychoyios, Dimitris.
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8. The trend of the total stock of the private car-petrol in Spain: Stochastic modelling using a new gamma diffusion process. (2009). Nafidi, A. ; Gutierrez-Sanchez, R..
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9. Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy.
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10. A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. (2008). Li, Minqiang.
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11. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
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12. Is Volatility Priced?. (2008). Hung, Ken ; Lin, Yueh-Neng .
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13. Volatility, Jumps and Predictability of Returns: a Sequential Analysis. (2008). Raggi, Davide ; Bordignon, S..
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14. Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models. (2008). Posedel, Petra ; Hubalek, Friedrich.
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15. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
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16. Efficient estimation for ergodic diffusions sampled at high frequency. (2008). Sørensen, Michael ; Sorensen, Michael.
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17. Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation. (2007). Hurn, Stan ; Jeisman, J. ; Lindsay, K..
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18. Parameter estimation from multinomial trees to jump diffusions with k means clustering. (2007). Xu, Mingxin ; Lee, Kiseop.
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19. Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions. (2007). Kimmel, Robert L..
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20. Simulation-based Estimation of Contingent-claims Prices. (2007). Yu, Jun ; Phillips, Peter.
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21. Inference for stochastic volatility models using time change transformations. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
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22. Nonparametric Estimation and Misspecification Testing of Diffusion Models. (2007). Kristensen, Dennis.
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23. A Simulation Based Specification Test for Diffusion Processes. (2006). Swanson, Norman ; Bhardwaj, Geetesh ; Corradi, Valentina.
    In: Departmental Working Papers.
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24. Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation. (2006). Hurn, Stan.
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25. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations. (2006). Hurn, Stan.
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26. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2. (2006). Hurn, Stan ; Jeisman, J. ; Lindsay, K. A..
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27. Nonparametric Econometrics: Theory and Practice. (2006). Racine, Jeffrey Scott ; Li, QI.
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28. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
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29. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan. (2005). Yu, Jun ; Phillips, Peter.
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30. Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview. (2005). .
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31. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations. (2005). Yu, Jun ; Phillips, Peter.
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32. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
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33. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). Chiarella, Carl ; Bhar, Ram ; To, Thuy-Duong .
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34. PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME. (2004). Londoño, Jaime.
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35. Maximum Likelihood Estimation of Stochastic Volatility Models. (2004). Ait-Sahalia, Yacine ; Kimmel, Robert.
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36. On the statistical estimation of diffusion processes - a partial survey. (2004). Cysne, Rubens.
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37. On the statistical estimation of diffusion processes: a survey. (2004). Cysne, Rubens.
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38. A genetic estimation algorithm for parameters of stochastic ordinary differential equations. (2004). Alcock, Jamie ; Burrage, Kevin.
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39. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
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40. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility. (2003). Steel, Mark ; Griffin, James E..
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41. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
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42. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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43. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes. (2003). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome B..
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44. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
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45. Closed-Form Likelihood Expansions for Multivariate Diffusions. (2002). Ait-Sahalia, Yacine.
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46. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2002). Ait-Sahalia, Yacine ; Kimmel, Robert.
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47. Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey.. (2002). Sorensen, Helle .
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48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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49. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
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50. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
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