1. Time series with infinite-order partial copula dependence. (2022). Alexander, Mcneil ; Martin, Bladt.
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   RePEc:vrs:demode:v:10:y:2022:i:1:p:87-107:n:2.

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2. Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak. (2021). Aysan, Ahmet ; Topuz, Humeyra ; Ul, Asad.
   In: Risks.
   RePEc:gam:jrisks:v:9:y:2021:i:4:p:74-:d:535495.

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3. Time series models with infinite-order partial copula dependence. (2021). Bladt, Martin ; McNeil, Alexander J.
   In: Papers.
   RePEc:arx:papers:2107.00960.

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4. Time series copula models using d-vines and v-transforms. (2021). Bladt, Martin ; McNeil, Alexander J.
   In: Papers.
   RePEc:arx:papers:2006.11088.

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1. A Portfolio Approach to Assessing an Auto-Enrolment Pension Scheme for Ireland. (2017). Gallagher, Liam ; Ryan, Fionnuala.
   In: The Economic and Social Review.
   RePEc:eso:journl:v:48:y:2017:i:4:p:515-548.

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2. Measuring Risk in Fixed Income Portfolios using Yield Curve Models. (2015). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo.
   In: Computational Economics.
   RePEc:kap:compec:v:46:y:2015:i:1:p:65-82.

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3. In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008. (2011). Swanson, Norman ; Cai, Lili.
   In: Departmental Working Papers.
   RePEc:rut:rutres:201102.

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4. Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio. (2011). Racicot, François-Éric ; Theoret, Raymond.
   In: RePAd Working Paper Series.
   RePEc:pqs:wpaper:032011.

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5. Can standard preferences explain the prices of out-of-the-money S&P 500 put options?. (2011). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
   In: Working Paper Series.
   RePEc:fip:fedhwp:wp-2011-11.

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6. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard.
   In: CREATES Research Papers.
   RePEc:aah:create:2011-35.

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7. Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio. (2010). Racicot, François-Éric ; Theoret, Raymond.
   In: MPRA Paper.
   RePEc:pra:mprapa:35911.

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8. Revealing the arcane: an introduction to the art of stochastic volatility models. (2010). Tsyplakov, Alexander.
   In: MPRA Paper.
   RePEc:pra:mprapa:25511.

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9. Improving Portfolio Selection Using Option-Implied Volatility and Skewness. (2010). Vilkov, Grigory ; Uppal, Raman ; Plyakha, Yuliya ; Demiguel, Victor.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:7686.

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10. A general framework for the derivation of asset price bounds: an application to stochastic volatility option models. (2009). Bondarenko, Oleg ; Longarela, Iaki .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107.

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11. Assessing the compensation for volatility risk implicit in interest rate derivatives. (2008). Fornari, Fabio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008859.

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12. NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS. (2008). Renò, Roberto ; Reno, Roberto.
    In: Econometric Theory.
    RePEc:cup:etheor:v:24:y:2008:i:05:p:1174-1206_08.

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13. Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-11.

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14. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12962.

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15. An empirical analysis of nonstationarity in a panel of interest rates with factors. (2007). Perron, Benoit ; Moon, Hyungsik.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:2:p:383-400.

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16. On the Role of Risk Premia in Volatility Forecasting. (2007). Chernov, Mikhail.
    In: Journal of Business & Economic Statistics.
    RePEc:bes:jnlbes:v:25:y:2007:p:411-426.

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17. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Jacobs, Kris ; Mimouni, Karim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-37.

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18. A Simulation Based Specification Test for Diffusion Processes. (2006). Swanson, Norman ; Bhardwaj, Geetesh ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200614.

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19. Foreign exchange volatility is priced in equities. (2006). Neely, Christopher ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-029.

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20. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options. (2005). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11861.

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21. Using implied volatility to measure uncertainty about interest rates. (2005). Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:may:p:407-425:n:v.87no.3.

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22. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10852.

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23. Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility. (2004). Jones, Christopher ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10756.

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24. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

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25. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

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26. The informational content of over-the-counter currency options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004366.

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27. Option Valuation with Long-run and Short-run Volatility Components. (2004). Wang, Yintian ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

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

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29. Option Strategies: Good Deals and Margin Calls. (2004). Saretto, Alessio ; Santa-Clara, Pedro.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt0499w44p.

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30. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

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31. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-009.

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32. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10009.

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33. Dynamic Derivative Strategies. (2003). pan, jun ; LIU, JUN.
    In: Working papers.
    RePEc:mit:sloanp:3548.

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34. Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies. (2003). Chan-Lau, Jorge ; Morales, Armando Mendez.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2003/001.

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35. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

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36. The Importance of the Loss Function in Option Valuation. (2003). Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-52.

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37. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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38. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; M. Gentile, R. Reno, ; Dosi, Giovanni ; Castaldi, Carolina.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2002/02.

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39. Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps. (2002). Chourdakis, Kyriakos.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp464.

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40. Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps. (2002). Chourdakis, Kyriakos.
    In: Working Papers.
    RePEc:qmw:qmwecw:464.

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41. Which Volatility Model for Option Valuation?. (2002). Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-33.

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42. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

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43. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8510.

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44. Continuous‐Time Methods in Finance: A Review and an Assessment. (2000). Sundaresan, Suresh M..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:55:y:2000:i:4:p:1569-1622.

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45. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Richardson, Matthew ; Boudoukh, Jacob.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7213.

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46. Transform Analysis and Asset Pricing for Affine Jump-Diffusions. (1999). Singleton, Kenneth ; pan, jun ; Duffie, Darrell.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7105.

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47. Estimating One-Factor Models of Short-Term Interest Rates. (1999). Mc Manus, Des ; Watt, David, .
    In: Staff Working Papers.
    RePEc:bca:bocawp:99-18.

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48. How Relevant is Volatility Forecasting for Financial Risk Management?. (1998). Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6844.

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49. Heterogeneous Information Arrival and Option Pricing. (1997). Ncube, Mthuli ; Asea, Patrick K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5950.

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50. Heterogeneous Information Arrival and Option Pricing. (1997). Asea, Patrick ; Nube, Mthuli.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:763.

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