1. Option pricing with maximum entropy densities: The inclusion of higher?order moments. (2022). Ardakani, Omid M.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1821-1836.

   Full description at Econpapers || Download paper

2. From innovation to obfuscation: continuous time finance fifty years later. (2022). Perrakis, Stylianos.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:36:y:2022:i:3:d:10.1007_s11408-021-00399-z.

   Full description at Econpapers || Download paper

3. Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model. (2022). Hassan, Hussein A ; Cevik, Emrah I ; Dibooglu, Sel.
   In: Economic Analysis and Policy.
   RePEc:eee:ecanpo:v:75:y:2022:i:c:p:396-411.

   Full description at Econpapers || Download paper

4. Combination of transition probability distribution and stable Lorentz distribution in stock markets. (2021). Chang, Chuo ; Liu, Chang.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308529.

   Full description at Econpapers || Download paper

5. Shedding light on a dark matter: Jump diffusion and option?implied investor preferences. (2021). Perrakis, Stylianos ; Oancea, Michael ; Ghanbari, Hamed.
   In: European Financial Management.
   RePEc:bla:eufman:v:27:y:2021:i:2:p:244-286.

   Full description at Econpapers || Download paper

6. Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin.
   In: Papers.
   RePEc:arx:papers:2111.10033.

   Full description at Econpapers || Download paper

7. Dynamic correlations and distributions of stock returns on Chinas stock markets. (2020). Chang, Chuo.
   In: Journal of Applied Finance & Banking.
   RePEc:spt:apfiba:v:10:y:2020:i:1:f:10_1_6.

   Full description at Econpapers || Download paper

8. Valuation of collateralized debt obligations: An equilibrium model. (2019). Park, Jason ; Hu, May.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:82:y:2019:i:c:p:119-135.

   Full description at Econpapers || Download paper

9. Pricing American Options with Jumps in Asset and Volatility. (2018). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Taruvinga, Blessing.
   In: Research Paper Series.
   RePEc:uts:rpaper:394.

   Full description at Econpapers || Download paper

10. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

    Full description at Econpapers || Download paper

11. Evaluation of variable annuity guarantees with the effect of jumps in the asset price process. (2017). Juma, Mussa ; McMillan, David ; Liew, Kian Wah ; Chin, Seong Tah ; Lee, Min Cherng.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1326218.

    Full description at Econpapers || Download paper

12. Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
    In: Research Paper Series.
    RePEc:uts:rpaper:367.

    Full description at Econpapers || Download paper

13. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201646.

    Full description at Econpapers || Download paper

14. Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test. (2016). GUPTA, RANGAN ; Cakan, Esin ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:pre:wpaper:201631.

    Full description at Econpapers || Download paper

15. Alternative methods to derive option pricing models: review and comparison. (2016). Lee, Cheng Few ; Chen, Yibing.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:47:y:2016:i:2:d:10.1007_s11156-015-0505-5.

    Full description at Econpapers || Download paper

16. Hedging jump risk, expected returns and risk premia in jump-diffusion economies. (2015). Li, Oliver X..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:5:p:873-888.

    Full description at Econpapers || Download paper

17. Derivative Security Pricing. (2015). He, Xue-Zhong ; Chiarella, Carl ; Nikitopoulos, Christina Sklibosios.
    In: Dynamic Modeling and Econometrics in Economics and Finance.
    RePEc:spr:dymeef:978-3-662-45906-5.

    Full description at Econpapers || Download paper

18. Volatilities implied by price changes in the S&P 500 options and futures contracts. (2014). Li, Wei ; Hilliard, Jitka.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:42:y:2014:i:4:p:599-626.

    Full description at Econpapers || Download paper

19. Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach. (2013). Perrakis, Stylianos ; Boloorforoosh, Ali .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3157-3168.

    Full description at Econpapers || Download paper

20. The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. (2012). Faria, Gonçalo ; Correia-da-Silva, Joao ; João Correia-da-Silva, ; João Correia-da-Silva, .
    In: Annals of Finance.
    RePEc:kap:annfin:v:8:y:2012:i:4:p:507-531.

    Full description at Econpapers || Download paper

21. Asset pricing with Second-Order Esscher Transforms. (2012). Pegoraro, Fulvio ; Monfort, Alain.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1678-1687.

    Full description at Econpapers || Download paper

22. A comparative study of the probability of default for global financial firms. (2012). Simkins, Betty ; Cmara, Antnio ; Popova, Ivilina .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:717-732.

    Full description at Econpapers || Download paper

23. Asset Pricing with Second-Order Esscher Transforms.. (2012). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:397.

    Full description at Econpapers || Download paper

24. The limitation of monotonicity property of option prices: an empirical evidence. (2011). Tsai, Chin Yu ; Chen, Darhsin ; Lin, Chuang Yuang .
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:23:p:3103-3113.

    Full description at Econpapers || Download paper

25. Jump risk, stock returns, and slope of implied volatility smile. (2011). Yan, Shu.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:1:p:216-233.

    Full description at Econpapers || Download paper

26. Expected returns, risk premia, and volatility surfaces implicit in option market prices. (2011). Krehbiel, Tim ; Camara, Antonio ; Li, Weiping.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:215-230.

    Full description at Econpapers || Download paper

27. Stock market momentum, business conditions, and GARCH option pricing models. (2011). Huang, Hsin-Yi ; Chiang, Min-Hsien .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:488-505.

    Full description at Econpapers || Download paper

28. American option pricing under stochastic volatility: an empirical evaluation. (2010). Guha, Suchandan ; Goswami, Manisha ; Aitsahlia, Farid.
    In: Computational Management Science.
    RePEc:spr:comgts:v:7:y:2010:i:2:p:189-206.

    Full description at Econpapers || Download paper

29. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models. (2010). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-44.

    Full description at Econpapers || Download paper

30. A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes. (2009). Pajor, Anna.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:1:y:2009:i:1:p:71-81.

    Full description at Econpapers || Download paper

31. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0926.

    Full description at Econpapers || Download paper

32. Two counters of jumps. (2009). Camara, Antonio .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:3:p:456-463.

    Full description at Econpapers || Download paper

33. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; van Haastrecht, Alexander ; Schrager, David .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

    Full description at Econpapers || Download paper

34. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-19.

    Full description at Econpapers || Download paper

35. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-07.

    Full description at Econpapers || Download paper

36. Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates. (2008). Pajor, Anna.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:8:y:2008:p:147-154.

    Full description at Econpapers || Download paper

37. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
    In: Discussion Papers.
    RePEc:yor:yorken:07/08.

    Full description at Econpapers || Download paper

38. EFFECTS OF STOCHASTIC INTEREST RATES AND VOLATILITY ON CONTINGENT CLAIMS. (2007). Kunitomo, Naoto ; Kim, Yong-Jin .
    In: The Japanese Economic Review.
    RePEc:bla:jecrev:v:58:y:2007:i:1:p:71-106.

    Full description at Econpapers || Download paper

39. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:188.

    Full description at Econpapers || Download paper

40. Option Pricing Under Autoregressive Random Variance Models. (2006). Siu, Tak.
    In: North American Actuarial Journal.
    RePEc:taf:uaajxx:v:10:y:2006:i:2:p:62-75.

    Full description at Econpapers || Download paper

41. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

42. Viewpoint: Option prices, preferences, and state variables. (2005). Luger, Richard ; Garcia, René ; Renault, Eric.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
    RePEc:wly:canjec:v:38:y:2005:i:1:p:1-27.

    Full description at Econpapers || Download paper

43. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:76.

    Full description at Econpapers || Download paper

44. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Chen, An-Sing ; Leung, Mark T..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2947-2969.

    Full description at Econpapers || Download paper

45. Pricing American options when the underlying asset follows GARCH processes. (2005). Stentoft, Lars.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:4:p:576-611.

    Full description at Econpapers || Download paper

46. The empirical evidence of the leverage effect on volatility in international bulk shipping market. (2004). Wang, Shiu-Tung ; Chen, Yung-Shun .
    In: Maritime Policy & Management.
    RePEc:taf:marpmg:v:31:y:2004:i:2:p:109-124.

    Full description at Econpapers || Download paper

47. Good-Deal Option Price Bounds for a Non-Traded Event with Stochastic Return: A Note. (2004). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:11:y:2004:i:2:p:135-141.

    Full description at Econpapers || Download paper

48. An analysis of option pricing under systematic consumption risk using GARCH. (2004). Masih, Abul ; Georgievski, Alex ; Masih, A. Mansur M., .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:18:y:2004:i:2:p:151-171.

    Full description at Econpapers || Download paper

49. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

50. Digital Security Tokens and Their Derivatives. (2003). Matsuura, Kanta.
    In: Netnomics.
    RePEc:kap:netnom:v:5:y:2003:i:2:d:10.1023_a:1026052902146.

    Full description at Econpapers || Download paper

51. Empirical assessment of an intertemporal option pricing model with latent variables. (2003). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:49-83.

    Full description at Econpapers || Download paper

52. Spectral GMM estimation of continuous-time processes. (2003). Viceira, Luis ; Chacko, George .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:259-292.

    Full description at Econpapers || Download paper

53. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11:p:2095-2114.

    Full description at Econpapers || Download paper

54. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

    Full description at Econpapers || Download paper

55. Option Valuation with Conditional Skewness. (2003). Christoffersen, Peter ; Jacobs, Kris ; Heston, Steve.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-50.

    Full description at Econpapers || Download paper

56. Option pricing with Levy Process. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212006.

    Full description at Econpapers || Download paper

57. Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version). (2001). Kunitomo, Naoto ; Kim, Yong-Jin .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2001cf129.

    Full description at Econpapers || Download paper

58. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-10.

    Full description at Econpapers || Download paper

59. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-09.

    Full description at Econpapers || Download paper

60. Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach. (2001). Bertsimas, Dimitris ; Lo, Andrew W ; Kogan, Leonid.
    In: Operations Research.
    RePEc:inm:oropre:v:49:y:2001:i:3:p:372-397.

    Full description at Econpapers || Download paper

61. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

    Full description at Econpapers || Download paper

62. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

    Full description at Econpapers || Download paper

63. Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity. (2000). Khalaf, Lynda ; Saphores, Jean-Daniel ; Bilodeau, Jean-Franois.
    In: Cahiers de recherche.
    RePEc:lvl:lagrcr:0004.

    Full description at Econpapers || Download paper

64. An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis. (2000). Aase, Knut.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:27:y:2000:i:3:p:345-363.

    Full description at Econpapers || Download paper

65. Pricing and hedging derivative securities with neural networks and a homogeneity hint. (2000). Gencay, Ramazan ; Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:93-115.

    Full description at Econpapers || Download paper

66. Pricing and hedging long-term options. (2000). Chen, Zhiwu ; Cao, Charles ; Bakshi, Gurdip .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:277-318.

    Full description at Econpapers || Download paper

67. A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets. (1999). Melenberg, Bertrand ; Werker, Bas.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:2:y:1999:i:1:p:11-30.

    Full description at Econpapers || Download paper

68. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:113.

    Full description at Econpapers || Download paper

69. Pricing Options under Stochastic Interest Rates: A New Approach. (1999). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:6:y:1999:i:1:p:49-70.

    Full description at Econpapers || Download paper

70. Empirical Tests of Interest Rate Model Pricing Kernels. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-015.

    Full description at Econpapers || Download paper

71. Long-term equity anticipation securities and stock market volatility dynamics. (1999). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:92:y:1999:i:1:p:75-99.

    Full description at Econpapers || Download paper

72. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-47.

    Full description at Econpapers || Download paper

73. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9801.

    Full description at Econpapers || Download paper

74. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

75. The relative mispricing of the constant variance American put model. (1998). Culumovic, Louis ; Hadjiyannakis, Steve ; Welch, Robert L..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:7:y:1998:i:2:p:149-171.

    Full description at Econpapers || Download paper

76. An empirical examination of currency futures options under stochastic interest rates. (1998). Duett, Edwin H. ; Poon, Winnie P. H., .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:9:y:1998:i:1:p:29-50.

    Full description at Econpapers || Download paper

77. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint. (1998). Gencay, Ramazan ; Garcia, René ; Genay, Ramazan.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-35.

    Full description at Econpapers || Download paper

78. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-02.

    Full description at Econpapers || Download paper

79. Deterministic versus stochastic volatility: implications for option pricing models. (1997). Chowdhury, Mustafa ; Brockman, Paul.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:7:y:1997:i:5:p:499-505.

    Full description at Econpapers || Download paper

80. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6250.

    Full description at Econpapers || Download paper

81. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance. (1997). Das, Sanjiv ; Sundaram, Rangarajan K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5976.

    Full description at Econpapers || Download paper

82. Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach. (1997). Lo, Andrew ; Bertsimas, Dimitris., .
    In: Working papers.
    RePEc:mit:sloanp:2673.

    Full description at Econpapers || Download paper

83. Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios. (1997). Parisi, Franco.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:34:y:1997:i:101:p:27-47.

    Full description at Econpapers || Download paper

84. An alternative valuation model for contingent claims. (1997). Chen, Zhiwu ; Bakshi Gurdip S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:44:y:1997:i:1:p:123-165.

    Full description at Econpapers || Download paper

85. On the Pricing of Options in Incomplete Markets. (1996). Werker, B. J. M., ; Melenberg, B.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:3531d5d5-d0a6-4d54-9d8a-91dbd137e417.

    Full description at Econpapers || Download paper

86. On the Pricing of Options in Incomplete Markets. (1996). Werker, Bas ; Melenberg, Bertrand ; Werker, B. J. M., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:3531d5d5-d0a6-4d54-9d8a-91dbd137e417.

    Full description at Econpapers || Download paper

87. Closing the GARCH gap: Continuous time GARCH modeling. (1996). Werker, Bas ; Drost, Feike C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:31-57.

    Full description at Econpapers || Download paper

88. Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:151-184.

    Full description at Econpapers || Download paper

89. An Alternative Model for Contingent Claims. (1995). Chen, Zhiwu ; Gurdip S. Bakshi and, .
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9504.

    Full description at Econpapers || Download paper

90. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

91. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

    Full description at Econpapers || Download paper

92. Estimation and testing in models containing both jumps and conditional heteroskedasticity. (1994). Werker, B. J. M., ; Nijman, T E ; Drost, F C.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:4a81702c-3af7-4b6c-99b6-5b00ce83cabc.

    Full description at Econpapers || Download paper

93. Estimation and testing in models containing both jumps and conditional heteroskedasticity. (1994). Werker, Bas ; Nijman, Theo ; Drost, Feike C. ; Werker, B. J. M., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:4a81702c-3af7-4b6c-99b6-5b00ce83cabc.

    Full description at Econpapers || Download paper

This document has not been processed yet.

You may help us by submiting the list of references

      This document has not co-citation data yet.

Report date: 2025-02-26 14:32:48 || Missing content? Let us know