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2. Interpreting the Estimates from the Full VECH Model with Asymmetry: The Case of US and Canadian Equity Prices. (2017). Tsuji, Chikashi.
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3. Measuring Risk in Fixed Income Portfolios using Yield Curve Models. (2015). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo.
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4. Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates. (2008). Christiansen, Charlotte.
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5. Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates. (2007). Christiansen, Charlotte.
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1. Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan.
   In: Papers.
   RePEc:arx:papers:2402.07435.

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2. Predictive power of the implied volatility term structure in the fixed‐income market. (2023). Li, Xiaowei ; Chen, Ren Raw ; Hsieh, Peilin ; Huang, Jeffrey.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:3:p:349-383.

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3. Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael ; Psychoyios, Dimitris.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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4. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Jacobs, Kris ; Young, BO.
   In: Handbook of Economic Forecasting.
   RePEc:eee:ecofch:2-581.

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5. Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order. (2013). Schlogl, Erik.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:37:y:2013:i:3:p:611-632.

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6. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility. (2013). Feunou, Bruno ; Chang, Bo Young.
   In: Staff Working Papers.
   RePEc:bca:bocawp:13-37.

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7. Implied and realized volatility: empirical model selection. (2012). Zhang, Lan.
   In: Annals of Finance.
   RePEc:kap:annfin:v:8:y:2012:i:2:p:259-275.

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8. A MULTI-HORIZON COMPARISON OF VOLATILITY FORECASTS: AN APPLICATION TO STOCK OPTIONS TRADED AT EURONEXT EXCHANGE AMSTERDAM. (2012). Asandului, Mircea.
   In: Review of Economic and Business Studies.
   RePEc:aic:revebs:y:2012:i:10:asanduluim.

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

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10. Forecasting volatility: does continuous time do better than discrete time?. (2011). Veiga, Helena ; Breto, Carles.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws112518.

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11. Forecasting with Option Implied Information. (2011). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-46.

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12. The smirk in the S&P500 futures options prices: a linearized factor analysis. (2009). Cheuk, Terry ; Dyrting, Sigurd ; Carverhill, Andrew.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:12:y:2009:i:2:p:109-139.

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13. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets. (2008). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1181.

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14. Are implied volatilities more informative? The Brazilian real exchange rate case. (2007). Tabak, Benjamin ; Chang, Eui Jung .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:7:p:569-576.

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15. 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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16. 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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17. STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES. (2006). MAGHREBI, Tatsuro Nabil ; Kim, Moo-Sung ; Nishina, Kazuhiko.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:0609.

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18. Dynamics of realized volatilities and correlations: An empirical study. (2006). Lalancette, Simon ; Ferland, Rene.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2109-2130.

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19. The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market. (2006). Wilkens, Sascha ; Roder, Klaus.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2006:i:1:p:50-74.

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20. A Non-Parametric Option Pricing Model: Theory and Empirical Evidence. (2005). Chen, Ren-Raw ; Palmon, Oded.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:2:p:115-134.

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21. Autoregresive conditional volatility, skewness and kurtosis. (2005). Serna, Gregorio ; Rubio, Gonzalo ; Leon, Angel.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:45:y:2005:i:4-5:p:599-618.

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22. Forecasting the comovements of spot interest rates. (2005). Ferreira, Miguel.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:24:y:2005:i:5:p:766-792.

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23. The forecasting abilities of implied and econometric variance-covariance models across financial measures. (2005). Chong, James.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:57:y:2005:i:5:p:463-490.

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24. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). To, Thuy-Duong ; Bhar, Ram.
    In: Finance.
    RePEc:wpa:wuwpfi:0409003.

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25. Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts. (2004). Cifarelli, Giulio.
    In: MPRA Paper.
    RePEc:pra:mprapa:28655.

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26. On the Information in the Interest Rate Term Structure and Option Prices. (2004). Pelsser, Antoon ; Driessen, Joost ; de Jong, Frank.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127.

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27. AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS. (2004). Leon, ngel ; Serna, Gregorio ; Rubio, Gonzalo.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2004-13.

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28. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2004-03.

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29. Tracking Brazilian Exchange Rate Volatility. (2004). Tabak, Benjamin ; de Andrade, Sandro Canesso ; Chang, Eui Jung .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:487.

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30. Euro area sovereign yield dynamics: the role of order imbalance. (2004). Menkveld, Albert ; Cheung, Yiu Chung ; de Jong, Frank.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004385.

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31. Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. (2003). Clemente, Ismael Moya ; Cabedo Semper, J. David, .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:150:y:2003:i:3:p:516-528.

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32. Forecasting Volatility in Financial Markets: A Review. (2003). Poon, Ser-Huang.
    In: Journal of Economic Literature.
    RePEc:aea:jeclit:v:41:y:2003:i:2:p:478-539.

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33. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). To, Thuy Duong ; Bhar, Ram.
    In: Research Paper Series.
    RePEc:uts:rpaper:80.

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34. The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?. (2002). Cifarelli, Giulio.
    In: MPRA Paper.
    RePEc:pra:mprapa:28538.

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35. Autorregresive conditional volatility, skewness and kurtosis. (2002). Serna, Gregorio ; Rubio, Gonzalo ; Leon, Angel.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200206.

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36. Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis. (2002). Zhou, Anjun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:35-56.

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37. THE DESIGN AND PRICING OF FIXED AND MOVING WINDOW CONTRACTS: AN APPLICATION OF ASIAN-BASKET OPTION PRICING METHODS TO THE HOG FINISHING SECTOR. (2002). Roe, Brian ; Shao, Renyuan .
    In: 2002 Annual meeting, July 28-31, Long Beach, CA.
    RePEc:ags:aaea02:19823.

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38. Quantum Field Theory of Forward Rates with Stochastic Volatility. (2001). Baaquie, Belal E..
    In: Papers.
    RePEc:arx:papers:cond-mat/0110506.

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39. Underpinnings for Prospective, Net Revenue Forecasting in Hog Finishing: Characterizing the Joint Distribution of Corn, Soybean Meal and Lean Hogs Time Series. (2001). Roe, Brian ; Shao, Renyuan .
    In: 2001 Annual meeting, August 5-8, Chicago, IL.
    RePEc:ags:aaea01:20664.

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40. Noise Traders? Trigger Rates, FX Options, and Smiles. (2000). Pierdzioch, Christian.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:970.

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41. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. (2000). Koopman, Siem Jan ; Hol, Eugenie .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20000104.

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42. Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.. (2000). Hansen, Charlotte ; Christiansen, Charlotte.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2000_001.

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43. Evaluating covariance matrix forecasts in a value-at-risk framework. (2000). Lopez, Jose ; Walter, Christian A..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2000-21.

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44. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data. (2000). Lopez, Jose ; Walter, Christian.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2000-02.

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45. Models of forward Libor and swap rates. (1999). Rutkowski, Marek.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:6:y:1999:i:1:p:29-60.

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46. Option-Based Tests of Interest Rate Diffusion Functions. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-026.

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47. 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.

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48. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

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49. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

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50. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data. (1997). Lopez, Jose ; Walter, Christian.
    In: Research Paper.
    RePEc:fip:fednrp:9730.

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