1. VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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2. Option Valuation with Conditional Heteroskedastic Hidden Truncation Models. (2024). Belhachemi, Rachid.
   In: Computational Economics.
   RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10480-6.

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3. Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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4. Exact simulation of the Hull and White stochastic volatility model. (2024). Brignone, Riccardo ; Gonzato, Luca.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538.

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5. Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks. (2022). ADENOMON, MONDAY ; Idowu, Richard Adekola.
   In: FinTech.
   RePEc:gam:jfinte:v:2:y:2022:i:1:p:1-20:d:1010109.

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6. Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200.

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7. Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options. (2021). Kim, Sol.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1154-1176.

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8. 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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9. Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes. (2021). Wang, Xingchun ; Liang, Gechun.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:24:y:2021:i:1:d:10.1007_s11147-020-09167-z.

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10. 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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11. The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector. (2021). , Suripto.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2021-03-19.

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12. On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting. (2020). ADENOMON, MONDAY ; Nweze, Nwaze Obini ; Emenogu, Ngozi G.
    In: Financial Innovation.
    RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00178-1.

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13. 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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14. Dynamic Modeling Data Export Oil and Gas and Non-Oil and Gas by ARMA(2,1)-GARCH(1,1) Model: Study of Indonesian s Export over the Years 2008-2019. (2020). Wamiliana, Wamiliana ; Nairobi, Nairobi ; Usman, Mustofa ; Russel, Edwin ; Darmawan, Arif ; Ambya, Ambya.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2020-06-23.

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15. Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. (2020). Wang, Xingchun ; Liang, Gechun.
    In: Papers.
    RePEc:arx:papers:2001.09443.

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16. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rasset:v:7:y:2017:i:1:p:2-42..

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17. A Spanning Series Approach to Options. (2017). Heston, Steven L ; Rossi, Alberto G.
    In: The Review of Asset Pricing Studies.
    RePEc:oup:rapstu:v:7:y:2017:i:1:p:2-42..

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18. The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy.
    In: European Financial Management.
    RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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19. A stochastic semidefinite programming approach for bounds on option pricing under regime switching. (2016). Kwon, Roy ; Li, Jonathan.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:237:y:2016:i:1:p:41-75:10.1007/s10479-014-1651-1.

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20. A stochastic semidefinite programming approach for bounds on option pricing under regime switching. (2016). Kwon, Roy H ; Li, Jonathan Y.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:237:y:2016:i:1:d:10.1007_s10479-014-1651-1.

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21. 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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22. 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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23. 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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24. Estimating and using GARCH models with VIX data for option valuation. (2014). Lin, Binghuan ; Kanniainen, Juho ; Yang, Hanxue .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:200-211.

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25. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98.

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26. Bayesian option pricing using mixed normal heteroskedasticity models. (2014). Stentoft, Lars ; Rombouts, Jeroen V. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:588-605.

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27. 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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28. 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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29. American option pricing using simulation with an application to the GARCH model. (2013). Stentoft, Lars.
    In: Chapters.
    RePEc:elg:eechap:14545_5.

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30. Quadratic hedging schemes for non-Gaussian GARCH models. (2013). ELLIOTT, ROBERT J. ; Ortega, Juan-Pablo ; Badescu, Alexandru.
    In: Papers.
    RePEc:arx:papers:1209.5976.

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31. 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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32. American option pricing with discrete and continuous time models: An empirical comparison. (2011). Stentoft, Lars.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:5:p:880-902.

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33. Option Pricing Under GARCH Processes Using PDE Methods. (2010). Breton, Michele ; de Frutos, Javier.
    In: Operations Research.
    RePEc:inm:oropre:v:58:y:2010:i:4-part-2:p:1148-1157.

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34. 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.

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35. Dynamic Programming Approach for Valuing Options in the GARCH Model. (2009). Breton, Michele ; Martinez, Juan-Manuel ; Ben-Ameur, Hatem.
    In: Management Science.
    RePEc:inm:ormnsc:v:55:y:2009:i:2:p:252-266.

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

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

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38. Option valuation with long-run and short-run volatility components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:3:p:272-297.

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39. 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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40. 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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1. Estimating Parameters of Short-Term Real Interest Rate Models. (2013). Khramov, Vadim.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2013/212.

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2. The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?. (2013). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi ; Avouyi-Dovi, S. Patrick Sevestre., .
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   RePEc:bfr:banfra:462.

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3. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2012). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
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   RePEc:siu:wpaper:12-2012.

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4. Simulated Maximum Likelihood Estimation for Latent Diffusion Models. (2011). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
   In: Working Papers.
   RePEc:siu:wpaper:10-2011.

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5. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
   In: Melbourne Institute Working Paper Series.
   RePEc:iae:iaewps:wp2011n01.

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6. Multifractal modeling of short-term interest rates. (2011). Lovsletten, O. ; Rypdal, M..
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7. Continuous time modeling of interest rates: An empirical study on the Turkish short rate. (2010). Bayracı, Selçuk ; Bayraci, Selcuk ; Unal, Gazanfer.
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   RePEc:pra:mprapa:28091.

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8. Improving the term structure of interest rates: two-factor models. (2010). Gomez-Valle, Lourdes ; Julia Martínez-Rodríguez, .
   In: International Journal of Finance & Economics.
   RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:275-287.

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9. Modeling the dynamics of Chinese spot interest rates. (2010). Lin, Hai ; Hong, Yongmiao ; Wang, Shouyang.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:34:y:2010:i:5:p:1047-1061.

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10. Swap Rate Variance Swaps. (2009). Merener, Nicolas.
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11. Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law. (2009). Fruhwirth-Schnatter, Sylvia ; Sogner, Leopold.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:61:y:2009:i:1:p:159-179.

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12. Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter. (2009). Sapp, Travis .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:4:p:303-326.

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13. The limiting properties of the QMLE in a general class of asymmetric volatility models. (2008). Iglesias, Emma ; Dahl, Christian.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-38.

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14. FIEGARCH-M and and International Crises: A Cross-Country Analysis. (2008). Zhu, Jie.
    In: CREATES Research Papers.
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15. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-14.

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16. Econometric estimation in long-range dependent volatility models: Theory and practice. (2007). GAO, Jiti ; Casas, Isabel.
    In: MPRA Paper.
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17. 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.
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18. A Simple Measure for Examining the Proxy Problem of the Short-Rate. (2007). Takamizawa, Hideyuki.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:4:p:341-361.

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19. Term-structure estimation in markets with infrequent trading. (2007). Naranjo, Lorenzo F. ; Cortazar, Gonzalo ; Schwartz, Eduardo S..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:353-369.

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20. 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: CREATES Research Papers.
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21. Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates. (2007). Christiansen, Charlotte.
    In: CREATES Research Papers.
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22. Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach. (2007). Kristensen, Dennis.
    In: CREATES Research Papers.
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23. Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models. (2006). Singer, Hermann.
    In: Computational Statistics.
    RePEc:spr:compst:v:21:y:2006:i:3:p:385-397.

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24. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios.
    In: Finance.
    RePEc:wpa:wuwpfi:0512029.

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25. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:56.

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26. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2005). Amilon, Henrik.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0177.

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27. Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates.. (2005). Christiansen, Charlotte.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2005-03.

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28. Money market integration. (2005). Hilton, Spence.
    In: Staff Reports.
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29. Indirect Robust Estimation of the Short-term Interest Rate Process. (2005). Karolyi, G. ; Czellar, Veronika ; Ronchetti, Elvezio.
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30. The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach. (2004). Runggaldier, Wolfgang ; Bhar, Ram ; Hung, Hing.
    In: Finance.
    RePEc:wpa:wuwpfi:0409002.

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31. A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient. (2004). Renò, Roberto ; Schaefer, Stephen ; Reno, Roberto ; Roma, Antonio.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:445.

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32. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
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33. Bayesian Analysis of Continuous Time Models of the Australian Short Rate. (2004). Martin, Gael ; Sanford, Andrew D..
    In: Monash Econometrics and Business Statistics Working Papers.
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34. On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts. (2004). Spagnolo, Fabio ; Sola, Martin ; Kenc, Turalay ; Driffill, Edward.
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35. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2003). Amilon, Henrik.
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36. Cross-country differences in monetary policy execution and money market rates volatility. (2003). .
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37. The execution of monetary policy: a tale of two central banks. (2003). .
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38. The overnight interbank market: Evidence from the G-7 and the Euro zone. (2003). Bertola, Giuseppe.
    In: Journal of Banking & Finance.
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39. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; M. Gentile, R. Reno, ; Dosi, Giovanni ; Castaldi, Carolina.
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40. Disturbing Extremal Behavior of Spot Rate Dynamics. (2002). Bali, Turan G. ; Neftci, Salih N..
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41. The Overnight Interbank Market: Evidence from the G7 and the Euro Zone. (2002). Bertola, Giuseppe.
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42. Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm. (2001). Runggaldier, Wolfgang ; Bhar, Ram.
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43. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
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44. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Jacobs, Kris ; Duan, Jin-Chuan.
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45. Moments of the ARMA-EGARCH Model. (2000). Karanasos, Menelaos ; Kim, J..
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46. A multivariate latent factor decomposition of international bond yield spreads. (2000). pagan, adrian ; Martin, Vance.
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47. Day-to-day monetary policy and the volatility of the federal funds interest rate. (2000). Bertola, Giuseppe.
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48. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy.
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49. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
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50. Time-series and Cross-section Information in Affine Term Structure Models. (1999). de Jong, Frank.
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