1. A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2. Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali.
   In: Papers.
   RePEc:arx:papers:2505.12198.

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3. Subdiffusive option price model with Inverse Gaussian subordinator. (2024). Tyshchenkob, Sergii ; Shchestyuk, Nataliya.
   In: Working Papers.
   RePEc:hhs:oruesi:2024_001.

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4. Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method. (2023). Guo, Xiaozhu ; Li, Xiafei ; Huang, Dengshi ; Liang, Chao.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:83:y:2023:i:c:p:672-693.

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5. An empirical study on the characterization of implied volatility and pricing in the Chinese option market. (2022). Feng, Sixian ; Fan, Qingqian.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003828.

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6. Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). Çevik, Emrah ; Kenc, Turalay ; Cevik, Emrah Ismail.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00981-6.

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7. Bank default indicators with volatility clustering. (2021). Dibooglu, Selahattin ; Çevik, Emrah ; Kenc, Turalay.
   In: Annals of Finance.
   RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00369-x.

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8. Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models. (2020). Rodríguez, Gabriel ; Fernandez, Jean Pierre.
   In: Documentos de Trabajo / Working Papers.
   RePEc:pcp:pucwps:wp00484.

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9. Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions. (2020). Kim, Kyung Won ; Song, Jae Wook.
   In: Sustainability.
   RePEc:gam:jsusta:v:12:y:2020:i:3:p:1220-:d:318002.

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10. Pricing individual stock options using both stock and market index information. (2020). Violante, Francesco ; Stentoft, Lars.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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11. Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. (2020). Tsai, Jeffrey Tzuhao ; Cheng, Hung-Wen ; Lo, Chien-Ling.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303772.

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12. Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Lin, Shin-Hung ; Huang, Hung-Hsi ; Wang, Chiu-Ping.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130.

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13. Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models. (2018). Fabozzi, Frank ; Rachev, Svetlozar T ; Bianchi, Michele Leonardo.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9599-7.

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14. An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-Jie ; Lei, Mujun ; Chung, Cheng-Huang.
    In: Sustainability.
    RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688.

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15. Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor.
    In: Asian Journal of Economic Modelling.
    RePEc:asi:ajemod:2017:p:44-48.

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16. The new hybrid value at risk approach based on the extreme value theory. (2016). Stepanov, Saa ; Radivojevic, Nikola ; Cvjetkovic, Milena .
    In: Estudios de Economia.
    RePEc:udc:esteco:v:43:y:2016:i:1:p:17-43.

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17. Empirical Performance of Black-Scholes and GARCH Option Pricing Models during Turbulent Times: The Indian Evidence. (2016). Arekar, Kirti ; Bhat, Aparna.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:8:y:2016:i:3:p:123-136.

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18. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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19. Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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20. Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach. (2016). Mouratidis, Kostas ; Caglayan, Mustafa ; Kocaaslan, Ozge Kandemir.
    In: Scottish Journal of Political Economy.
    RePEc:bla:scotjp:v:63:y:2016:i:2:p:135-155.

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21. Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2016). Darabi, Roya ; Ghorashi, Felor.
    In: Asian Journal of Economic Modelling.
    RePEc:asi:ajemod:2016:p:44-48.

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22. Real effects of inflation uncertainty in the US. (2015). Caglayan, Mustafa ; Kandemir, Ozge ; Mouratidis, Kostas.
    In: Working Papers.
    RePEc:shf:wpaper:2011002.

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23. Forecasting stock index volatility with GARCH models: international evidence. (2015). Sharma, Prateek.
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:v:32:y:2015:i:4:p:445-463.

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24. Forecasting Value-at-Risk using block structure multivariate stochastic volatility models. (2015). Caporin, Massimiliano ; Asai, Manabu ; McAleer, Michael.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:40-50.

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25. An empirical model comparison for valuing crack spread options. (2015). Prokopczuk, Marcel ; Mahringer, Steffen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:51:y:2015:i:c:p:177-187.

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26. Option pricing under truncated Gram–Charlier expansion. (2015). Lin, Shin-Hung ; Huang, Hung-Hsi.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:32:y:2015:i:c:p:77-97.

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27. VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS. (2014). Liu, Wei-Han ; Chen, Tzu-Ying ; Han, Chuan-Hsiang.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:17:y:2014:i:02:n:s0219024914500095.

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28. On the relationship of implied, realized and historical volatility: evidence from NSE equity index options. (2014). Padhi, Puja ; Shaikh, Imlak.
    In: Journal of Business Economics and Management.
    RePEc:taf:jbemgt:v:15:y:2014:i:5:p:915-934.

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29. Evaluating Option Pricing Model Performance Using Model Uncertainty. (2014). Lehnert, Thorsten ; Blanchard, Gildas ; Bams, Dennis.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-06.

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30. Option Pricing under Sign RCA-GARCH Models. (2014). Górka, Joanna ; Gorka, Joanna.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:14:y:2014:p:145-160.

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31. Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_944_14.

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32. Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models. (2013). Caporin, Massimiliano ; Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130073.

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33. Is the realized volatility good for option pricing during the recent financial crisis?. (2013). Jou, Yow-Jen ; Chiu, Wan-Chien ; Wang, Chih-Wei.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:40:y:2013:i:1:p:171-188.

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34. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). Caporin, Massimiliano ; Asai, Manabu ; McAleer, Michael.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1203.

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35. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). Caporin, Massimiliano ; Asai, Manabu ; McAleer, Michael.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:812.

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36. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). Caporin, Massimiliano ; Asai, Manabu ; McAleer, M. J..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:31985.

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37. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). Caporin, Massimiliano ; Asai, Manabu ; McAleer, Michael.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:12/04.

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38. GARCH Option Valuation: Theory and Evidence. (2012). Christoffersen, Peter ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-50.

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39. Pricing Taiwan option market with GARCH and stochastic volatility. (2011). Chen, Shiau-Hung ; Huang, Hung-Hsi ; Wang, Ching-Ping.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:10:p:747-754.

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40. What we can learn from pricing 139,879 Individual Stock Options. (2011). Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-52.

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41. Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf699.

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42. Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17523.

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43. EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns. (2008). Nakajima, Jouchi.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:08-e-23.

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44. Accurate minimum capital risk requirements: A comparison of several approaches. (2008). Veiga, Helena ; Grane, A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:11:p:2482-2492.

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45. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-41.

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46. A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH. (2007). Bauer, Christian.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:1:p:65-87.

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47. Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities. (2006). Sun, Zhiqiang ; Ritchken, Peter ; Duan, Jin-Chuan.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0619.

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48. Pricing currency options in the presence of time-varying volatility and non-normalities. (2006). Martin, Vance ; Lim, Guay.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:16:y:2006:i:3:p:291-314.

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49. An empirical comparison of GARCH option pricing models. (2005). Ritchken, P. ; Hsieh, K..
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150.

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50. OPTION PRICING BASED ON THE CONCEPT OF INSURANCE: MARKET MODELS-FREE METHODS THAT GIVE AS SPECIAL CASE THE BLACK- SCHOLES OPTION PRICING. (2005). Kyritsis, Konstantinos ; Antoniadis, N.
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51. The Forecasting Performance of German Stock Option Densities. (2003). Craig, Ben ; Scheicher, Martin ; Keller, Joachim ; Glatzer, Ernst.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4214.

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52. The forecasting performance of German stock option densities. (2003). Craig, Ben ; Scheicher, Martin ; Keller, Joachim ; Glatzer, Ernst.
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53. Modelling the implied probability of stock market movements. (2003). Scheicher, Martin ; Glatzer, Ernst.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003212.

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2. Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Srivastava, R ; Taneja, H C ; Malhotra, Gifty.
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3. On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model. (2013). Ewald, Christian-Oliver ; Sai Hung Marten Ting, .
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4. Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data. (2013). Xu, Zheng.
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5. What drives option prices ?. (2012). Abergel, Frederic ; Zaatour, Riadh.
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6. Students t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae. (2010). Ouyed, Rachid ; Hamp, Michael J. ; Cassidy, Daniel T..
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7. Learning and Asset-Price Jumps. (2009). Bansal, Ravi ; Shaliastovich, Ivan.
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8. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
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9. Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options. (2009). Christoffersen, Peter ; Jacobs, Kris ; Ornthanalai, Chayawat.
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10. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
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11. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Heston, Steven ; Christoffersen, Peter ; Jacobs, Kris.
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12. Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Elkamhi, Redouane ; Christoffersen, Peter ; Jacobs, Kris.
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13. Tails, Fears and Risk Premia. (2009). Bollerslev, Tim ; Todorov, Viktor.
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14. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
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15. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
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16. Estimating asset correlations from stock prices or default rates: which method is superior?. (2008). Kunisch, Michael ; Dullmann, Klaus ; Kull, Jonathan .
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17. Determinants of the implied volatility function on the Italian Stock Market.. (2008). Beber, Alessandro.
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18. Measuring Model Risk. (2008). Sibbertsen, Philipp ; Stahl, Gerhard ; Luedtke, Corinna.
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19. Loss Functions in Option Valuation: A Framework for Selection. (2008). Wolff, Christian ; Lehnert, Thorsten ; Bams, Dennis.
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20. Asset Pricing in a Two-Country Discontinuous General Equilibrium Model. (2008). Necula, Ciprian.
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21. Volatility, Jumps and Predictability of Returns: a Sequential Analysis. (2008). Raggi, Davide ; Bordignon, S..
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22. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
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23. Models with time-dependent parameters using transform methods: application to Hestons model. (2008). Elices, A..
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24. Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
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25. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Wang, Yintian ; Dorion, Kris.
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26. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
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27. 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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28. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-16.

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29. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-09.

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30. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1188.

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31. Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities. (2006). Sun, Zhiqiang ; Ritchken, Peter ; Duan, Jin-Chuan.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0619.

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32. Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating. (2006). Telfah, Ahmad.
    In: API-Working Paper Series.
    RePEc:api:apiwps:0604.

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33. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts. (2005). Mittnik, Stefan ; Mizrach, Bruce ; Haas, Markus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200509.

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34. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1187.

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35. The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices. (2005). Nielsen, Morten ; Christensen, Bent Jesper.
    In: Working Paper.
    RePEc:qed:wpaper:1186.

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36. Co-movements of Index Options and Futures Quotes. (2005). Fahlenbrach, Ruediger ; Sandas, Patrik .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-2.

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37. Forecasting Livestock Feed Cost Risks Using Futures and Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Conference, April 18-19, 2005, St. Louis, Missouri.
    RePEc:ags:ncrfiv:19048.

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38. Managing Livestock Feed Cost Risks Using Futures and Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19399.

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39. Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19183.

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40. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10912.

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41. Why is the index smile so steep?. (2004). Schlag, Christian ; Branger, Nicole.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:84.

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42. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-6.

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43. Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options. (2004). Han, Bin.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-2.

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44. 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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45. 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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46. GARCH vs. stochastic volatility: Option pricing and risk management. (2002). Lehar, Alfred ; Scheicher, Martin ; Schittenkopf, Christian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:323-345.

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47. Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data. (2002). Koekebakker, Steen ; Lien, Gudbrand.
    In: 2002 International Congress, August 28-31, 2002, Zaragoza, Spain.
    RePEc:ags:eaae02:24874.

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48. An Eigenfunction Approach for Volatility Modeling.. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-29.

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

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50. 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.

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51. Precificação de Opções com Volatilidade Estocástica e Saltos. (1999). Da Silva, M. E. ; Guimares, B. V..
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_11.

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52. A closed-form GARCH option pricing model. (1997). Heston, Steven L. ; Nandi, Saikat.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

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