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Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
In: CREATES Research Papers.
RePEc:aah:create:2008-48.

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  2. Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey.
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  3. Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey .
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    In: MPRA Paper.
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  5. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey.
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  8. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio.
    In: Journal of Business & Economic Statistics.
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  9. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Lunde, Asger ; Hansen, Peter Reinhard ; Barndorff-Nielsen, Ole E. ; Shephard, Neil.
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  10. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Hansen, Peter ; Lunde, Asger ; Barndorff-Nielsen, Ole E..
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  11. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
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  14. Improving Portfolio Selection Using Option-Implied Volatility and Skewness. (2010). Vilkov, Grigory ; Uppal, Raman ; Plyakha, Yuliya ; Demiguel, Victor ; de Miguel, Victor .
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  15. Asset Return Dynamics under Bad Environment Good Environment Fundamentals. (2009). Engstrom, Eric ; Bekaert, Geert.
    In: NBER Working Papers.
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  16. Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Hansen, Peter ; Barndorff-Nielsen, Ole ; Lunde, Asger.
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  43. Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio. (2003). Kobzová, Lucie ; Kadlčáková, Narcisa ; Derviz, Alexis ; Kadlkov, Narcisa.
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  44. Iterative and Recursive Estimation in Structural Non-Adaptive Models. (2003). Renault, Eric ; Patilea, Valentin ; Pastorello, Sergio.
    In: CIRANO Working Papers.
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  45. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
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  46. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
    In: NBER Working Papers.
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  48. Interpreting the volatility smile: an examination of the information content of option prices. (2001). Weinberg, Steven A..
    In: International Finance Discussion Papers.
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  49. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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