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   RePEc:eee:ecosys:v:42:y:2018:i:2:p:295-306.

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2. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

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1. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
   In: Working Papers.
   RePEc:pre:wpaper:201646.

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

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3. Jump risk, stock returns, and slope of implied volatility smile. (2011). Yan, Shu.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:99:y:2011:i:1:p:216-233.

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4. Expected returns, risk premia, and volatility surfaces implicit in option market prices. (2011). Krehbiel, Tim ; Li, Weiping ; Camara, Antonio.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:35:y:2011:i:1:p:215-230.

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5. Stock market momentum, business conditions, and GARCH option pricing models. (2011). Chiang, Min-Hsien ; Huang, Hsin-Yi.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:18:y:2011:i:3:p:488-505.

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6. American option pricing under stochastic volatility: an empirical evaluation. (2010). Guha, Suchandan ; Goswami, Manisha ; Aitsahlia, Farid.
   In: Computational Management Science.
   RePEc:spr:comgts:v:7:y:2010:i:2:p:189-206.

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7. A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes. (2009). Pajor, Anna.
   In: Central European Journal of Economic Modelling and Econometrics.
   RePEc:psc:journl:v:1:y:2009:i:1:p:71-81.

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8. 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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9. Two counters of jumps. (2009). Camara, Antonio.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:33:y:2009:i:3:p:456-463.

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10. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

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11. 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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12. 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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13. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
    In: Discussion Papers.
    RePEc:yor:yorken:07/08.

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14. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:188.

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15. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:76.

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16. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Leung, Mark T. ; Chen, An-Sing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2947-2969.

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17. Pricing American options when the underlying asset follows GARCH processes. (2005). Stentoft, Lars.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:4:p:576-611.

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18. 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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19. Empirical assessment of an intertemporal option pricing model with latent variables. (2003). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:49-83.

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20. Spectral GMM estimation of continuous-time processes. (2003). Viceira, Luis ; Chacko, George.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:259-292.

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21. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

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22. Option Valuation with Conditional Skewness. (2003). Heston, Steve ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-50.

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23. Option pricing with Levy Process. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212006.

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24. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-10.

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25. 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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26. 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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27. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

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28. Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity. (2000). Khalaf, Lynda ; Bilodeau, Jean-Franois ; Saphores, Jean-Daniel.
    In: Cahiers de recherche.
    RePEc:lvl:lagrcr:0004.

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29. An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis. (2000). Aase, Knut.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:27:y:2000:i:3:p:345-363.

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30. Pricing and hedging derivative securities with neural networks and a homogeneity hint. (2000). Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:93-115.

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31. Pricing and hedging long-term options. (2000). Chen, Zhiwu ; Cao, Charles ; Bakshi, Gurdip.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:277-318.

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32. A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets. (1999). Melenberg, Bertrand ; Werker, Bas.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:2:y:1999:i:1:p:11-30.

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33. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:113.

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34. 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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35. Long-term equity anticipation securities and stock market volatility dynamics. (1999). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:92:y:1999:i:1:p:75-99.

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36. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-47.

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37. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9801.

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38. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

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39. An empirical examination of currency futures options under stochastic interest rates. (1998). Poon, Winnie P. H., ; Duett, Edwin H..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:9:y:1998:i:1:p:29-50.

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40. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint. (1998). Garcia, René ; Genay, Ramazan.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-35.

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41. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-02.

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42. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
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    RePEc:nbr:nberwo:6250.

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43. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance. (1997). Das, Sanjiv ; Sundaram, Rangarajan K..
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    RePEc:nbr:nberwo:5976.

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44. Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach. (1997). Lo, Andrew ; Bertsimas, Dimitris., .
    In: Working papers.
    RePEc:mit:sloanp:2673.

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45. Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios. (1997). Parisi, Franco.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:34:y:1997:i:101:p:27-47.

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46. An alternative valuation model for contingent claims. (1997). Chen, Zhiwu ; Bakshi Gurdip S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:44:y:1997:i:1:p:123-165.

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47. Closing the GARCH gap: Continuous time GARCH modeling. (1996). Werker, Bas ; Drost, Feike C..
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    RePEc:eee:econom:v:74:y:1996:i:1:p:31-57.

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48. Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole.
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49. An Alternative Model for Contingent Claims. (1995). Chen, Zhiwu ; Gurdip S. Bakshi and, .
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    RePEc:wop:ohsrfe:9504.

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50. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
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