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2. SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS. (2016). Hin, Lin-Yee ; Dokuchaev, Nikolai.
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3. Seasonal factors and outlier effects in rate of return on electricity spot prices in Australias National Electricity Market. (2011). Mitchell, Heather ; Ramiah, Vikash ; Thomas, Stuart ; Heaney, Richard.
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4. Noise Reduced Realized Volatility: A Kalman Filter Approach. (2009). Steigerwald, Douglas ; Owens, John .
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5. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
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6. Dynamics of realized volatilities and correlations: An empirical study. (2006). Ferland, Rene ; Lalancette, Simon .
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7. Predicting volatility: getting the most out of return data sampled at different frequencies. (2006). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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8. Finite Sample Accuracy of Integrated Volatility Estimators. (2005). Nielsen, Morten ; Frederiksen, Per Houmann.
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9. The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices. (2005). Nielsen, Morten ; Christensen, Bent Jesper.
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10. Modelling realized variance when returns are serially correlated. (2004). OOMEN, Roel C. A., .
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11. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
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12. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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13. Disentangling diffusion from jumps. (2004). Ait-Sahalia, Yacine.
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14. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
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15. Microstructure noise, realized volatility, and optimal sampling. (2004). Bandi, Federico M. ; Russell, Jeffrey R..
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16. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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17. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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18. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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19. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data. (2003). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
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1. A non-parametric investigation of risk premia. (2007). Peroni, Chiara.
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2. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
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3. 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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4. 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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5. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
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6. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel .
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7. Term structure of interest models: concept and estimation problem in a continuous-time setting. (2005). Di Miscia, Orazio.
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8. Nonparametric estimation of diffusion process: a closer look. (2005). Di Miscia, Orazio.
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9. Estimation of continuous-time interest rate models: a nonparametric approach. (2005). Di Miscia, Orazio.
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10. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
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11. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
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12. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process. (2005). Li, Fuchun.
    In: Staff Working Papers.
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13. PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME. (2004). Londoño, Jaime.
    In: Econometrics.
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14. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
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15. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
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16. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
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17. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
    In: Finance and Economics Discussion Series.
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18. Simulation-based estimation of dynamic models with continuous equilibrium solutions. (2003). SANTOS, MANUEL S..
    In: UC3M Working papers. Economics.
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19. 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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20. Market Risk and Volatility in the Brazilian Stock Market. (2003). Yoshino, Joe.
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21. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
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22. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns. (2002). Martin, Vance ; Lim, Guay.
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23. Semiparametric Diffusion Estimation and Application to a Stock Market Index. (2001). Platen, Eckhard ; Logeay, Camille ; Härdle, Wolfgang ; Korostelev, Alexander ; Hardle, Wolfgang ; Kleinow, Torsten .
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24. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. (2001). Santa-Clara, Pedro ; Brandt, Michael W..
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25. A Jump Difusion Yield Factor Model of Interest Rate. (2001). Brito, Ricardo ; FLoRES, R..
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26. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
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27. A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile. (2001). Fernandez, Viviana.
    In: Documentos de Trabajo.
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28. Fully Nonparametric Estimation of Scalar Diffusion Models. (2001). Phillips, Peter ; Bandi, Federico M..
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29. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy .
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30. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
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31. Trip Timing for Public Transportation : An Empirical Application. (2000). de Palma, André ; Fontan, C. ; Mekkaoui, O..
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32. Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations. (2000). Mele, Antonio ; Fornari, Fabio.
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33. Strong Rules for Detecting the Number of Breaks in a Time Series. (2000). Corradi, Valentina ; Altissimo, Filippo .
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34. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
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35. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis. (1999). Mele, Antonio ; Fornari, Fabio.
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36. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
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37. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Richardson, Matthew.
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38. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Boudoukh, Jacob ; Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew.
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39. Option-Based Tests of Interest Rate Diffusion Functions. (1999). Rosenberg, Joshua.
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40. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach. (1998). Ait-Sahalia, Yacine.
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41. Nonstationary Density Estimation and Kernel Autoregression. (1998). Phillips, Peter ; Park, Joon.
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42. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1998). Ng, Serena ; Ghysels, Eric.
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43. Nonparametric density estimation and tests of continuous time interest rate models. (1997). Pritsker, Matt.
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44. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1997). Ng, Serena ; Ghysels, Eric.
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45. Nonparametric Methods and Option Pricing. (1997). Renault, Eric ; Ghysels, Eric ; Torres, Olivier ; Patilea, Valentin.
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46. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome B. ; Torres, Olivier ; Broadie, Mark.
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47. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices. (1996). Ghysels, Eric ; Detemple, Jerome B. ; Torres, Olivier ; Broadie, Mark.
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48. A Semi-Parametric Factor Model for Interest Rates. (1996). Ng, Serena ; Ghysels, Eric.
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49. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. (1995). Lo, Andrew ; Ait-Sahalia, Yacine.
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50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
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