1. A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois.
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   RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2. A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Augustyniak, Maciej ; Begin, Jean-Franois ; Badescu, Alexandru.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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3. Information content of the risk-free rate for the pricing kernel bound. (2021). Nozari, Milad.
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   RePEc:pal:assmgt:v:22:y:2021:i:4:d:10.1057_s41260-021-00209-1.

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4. The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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5. Option pricing with asymmetric heteroskedastic normal mixture models. (2015). Stentoft, Lars.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:3:p:635-650.

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6. A Quadratic Kalman Filter. (2015). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain.
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   RePEc:eee:econom:v:187:y:2015:i:1:p:43-56.

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7. Nonparametric identification of positive eigenfunctions. (2014). Christensen, Timothy.
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8. Bayesian option pricing using mixed normal heteroskedasticity models. (2014). Stentoft, Lars ; Rombouts, Jeroen V. K., .
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   RePEc:eee:csdana:v:76:y:2014:i:c:p:588-605.

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9. Nonparametric identification of positive eigenfunctions. (2014). Christensen, Timothy M.
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   RePEc:azt:cemmap:37/14.

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10. Is the realized volatility good for option pricing during the recent financial crisis?. (2013). Jou, Yow-Jen ; Chiu, Wan-Chien ; Wang, Chih-Wei.
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11. Markov switching models in asset pricing research. (2013). Guidolin, Massimo.
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12. Realizing smiles: Options pricing with realized volatility. (2013). Corsi, Fulvio ; Fusari, Nicola ; la Vecchia, Davide.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:2:p:284-304.

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13. Joint econometric modeling of spot electricity prices, forwards and options. (2012). Monfort, Alain ; Feron, Olivier.
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    RePEc:kap:revdev:v:15:y:2012:i:3:p:217-256.

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14. 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.

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

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16. A dynamic copula approach to recovering the index implied volatility skew. (2011). Fengler, Matthias ; Herwartz, Helmut ; Werner, Christian.
    In: University of St. Gallen Department of Economics working paper series 2010.
    RePEc:usg:dp2010:2010-33.

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17. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves. (2011). Renne, Jean-Paul ; Monfort, Alain.
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    RePEc:crs:wpaper:2011-26.

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18. Credit and liquidity risks in euro area sovereign yield curves. (2011). Renne, Jean-Paul ; Monfort, Alain ; Renne, J-P., .
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    RePEc:bfr:banfra:352.

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19. Default, liquidity and crises: an econometric framework. (2011). Renne, Jean-Paul ; Monfort, Alain ; Renne, J-P., .
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    RePEc:bfr:banfra:340.

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20. Default, Liquidity and Crises : An Econometric Framework. (2010). Renne, Jean-Paul ; Monfort, Alain ; Alain Monfort ; Jean-Paul Renne, .
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    RePEc:crs:wpaper:2010-46.

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21. Esscher transforms and consumption-based models. (2009). Siu, Tak Kuen ; ELLIOTT, ROBERT J. ; Badescu, Alex.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:337-347.

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22. Frequency-domain analysis of debt service in a macro-finance model for the euro area.. (2009). Renne, Jean-Paul ; Renne, J-P., .
    In: Working papers.
    RePEc:bfr:banfra:261.

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23. Empirical asset pricing with nonlinear risk premia. (2009). Schneider, Paul ; Mijatovic, Aleksandar.
    In: Papers.
    RePEc:arx:papers:0911.0928.

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1. The Economic Impact of Oil on Industry Portfolios. (2013). Casassus, Jaime ; Higuera, Freddy .
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2. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2009). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
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3. Yield curve in an estimated nonlinear macro model. (2009). Doh, Taeyoung.
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4. A Simple Model of the Nominal Term Structure of Interest Rates. (2008). Wirjanto, Tony ; Choi, Yougsoo.
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5. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
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6. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
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7. On the Generalized Brownian Motion and its Applications in Finance. (2008). Høg, Esben ; Frederiksen, Per ; Hog, Esben ; Schiemert, Daniel .
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8. Zero bound, option-implied PDFs, and term structure models. (2008). Kim, Don H..
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9. Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing. (2008). Lebedinsky, Alex.
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10. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
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11. Extended-Gaussian Term Structure Models and Credit Risk Applications. (2007). Realdon, Marco.
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12. A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres. (2007). Realdon, Marco.
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13. Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model. (2007). Assefa, Samson ; Bruti-Liberati, Nicola ; Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina.
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14. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
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15. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
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16. Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices. (2007). Gabaix, Xavier.
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17. Semi-analytical MBS Pricing. (2007). Rom-Poulsen, Niels .
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18. Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions. (2007). Kimmel, Robert L..
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19. The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value. (2007). Thornton, Daniel ; Sarno, Lucio ; Della Corte, Pasquale.
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20. Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options. (2007). Kim, Don H.
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21. Switching VARMA Term Structure Models - Extended Version.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
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22. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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23. Equity Valuation Under Stochastic Interest Rates. (2006). Realdon, Marco.
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24. Quadratic Term Structure Models in Discrete Time. (2006). Realdon, Marco.
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25. The Fractional OU Process: Term Structure Theory and Application. (2006). Høg, Esben ; Hoeg, Esben.
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26. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Frederiksen, Per H. ; Hog, Espen P..
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27. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
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28. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
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29. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
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30. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2005). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
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32. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Junker, Markus ; Szimayer, Alexander.
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33. General Quadratic Term Structures of Bond, Futures and Forward Prices. (2004). Gaspar, Raquel.
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34. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?. (2004). LI, HAITAO ; Jarrow, Robert ; Zhao, Feng.
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35. Nonlinearity in the Term Structure. (2004). Kim, Dong Heon.
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37. Pseudo-diffusions and Quadratic term structure models. (2004). Levendorskii, Sergei.
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38. Credit Risk Modeling and the Term Structure of Credit Spreads. (2003). Chen, Li.
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39. Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates. (2003). Chen, Li.
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40. Parametric Estimation of Quadratic Term Structure Models of Interest Rates. (2003). Poor, Vincent H. ; Chen, LI.
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41. Time-Consistent No-Arbitrage Models of the Term Structure. (2003). Yaron, Amir ; Brandt, Michael W..
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42. How to Discount Cashflows with Time-Varying Expected Returns. (2003). LIU, JUN ; Ang, Andrew.
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43. Evaluating an Alternative Risk Preference in Affine Term Structure Models. (2003). Duarte, Jefferson., .
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44. Regime-shifts, risk premiums in the term structure, and the business cycle. (2003). Zhou, Hao ; Tauchen, George ; Bansal, Ravi.
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45. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
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46. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
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47. Design and Estimation of Quadratic Term Structure Models. (2002). Wu, Liuren ; Leippold, Markus.
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48. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; M. Gentile, R. Reno, ; Dosi, Giovanni ; Castaldi, Carolina.
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49. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects. (2001). Piazzesi, Monika.
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50. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
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