1. Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid.
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2. Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. (2022). Lu, Kevin W.
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3. .

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4. Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process. (2020). Szczepocki, Piotr.
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5. Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery. (2019). Liu, Hao ; Feng, Qianmei ; Shu, Yin.
   In: Reliability Engineering and System Safety.
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6. A Harris process to model stochastic volatility. (2019). Mena, Ramses H ; Anzarut, Michelle.
   In: Econometrics and Statistics.
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7. Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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8. Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2018). Leon-Gonzalez, Roberto.
   In: GRIPS Discussion Papers.
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9. A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger.
   In: Energy Economics.
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10. Bayesian calibration and number of jump components in electricity spot price models. (2017). Gonzalez, Jhonny ; Palczewski, Jan ; Moriarty, John .
    In: Energy Economics.
    RePEc:eee:eneeco:v:65:y:2017:i:c:p:375-388.

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11. A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. (2015). Wei, Wei ; Brix, Anne Floor ; Lunde, Asger.
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12. Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2014). Leon-Gonzalez, Roberto.
    In: Working Paper series.
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13. Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2014). Leon-Gonzalez, Roberto.
    In: GRIPS Discussion Papers.
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14. Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration. (2013). Fasen, Vicky .
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15. SMC-super-2: an efficient algorithm for sequential analysis of state space models. (2013). Chopin, Nicolas ; Jacob, P. E. ; Papaspiliopoulos, O..
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16. Stochastic volatility and stochastic leverage. (2012). Veraart, Almut.
    In: Annals of Finance.
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17. Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes. (2012). Raknerud, Arvid ; Skare, Oivind.
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18. Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. (2011). Posedel, Petra ; Hubalek, Friedrich.
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19. Econometric analysis of jump-driven stochastic volatility models. (2011). Todorov, Viktor.
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20. Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models. (2011). Taufer, Emanuele ; Bee, Marco ; Leonenko, Nikolai .
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21. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes. (2010). Steel, Mark ; Griffin, Jim ; STEEL, M. F. J., .
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22. Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models.. (2009). Taufer, Emanuele ; Bee, Marco ; Leonenko, Nikolai .
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23. Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law. (2009). Fruhwirth-Schnatter, Sylvia ; Sogner, Leopold.
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24. Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes.. (2008). Taufer, Emanuele.
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25. Exact Simulation of IG-OU Processes. (2008). Zhang, Shibin.
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26. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes. (2008). Steel, Mark ; Griffin, Jim.
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27. Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models. (2008). Creal, Drew.
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28. Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. (2008). Posedel, Petra ; Hubalek, Friedrich.
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29. Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances. (2008). Veraart, Almut.
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2. Minimum density power divergence estimator for diffusion processes. (2013). Lee, Sangyeol ; Song, Junmo.
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5. Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms. (2011). Singer, Hermann.
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6. Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations. (2009). Lubrano, Michel ; Hadri, Kaddour ; Bu, Ruijun ; Giet, Ludovic .
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7. Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme. (2009). Markellos, Raphael ; Daskalakis, George ; Psychoyios, Dimitris.
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8. The trend of the total stock of the private car-petrol in Spain: Stochastic modelling using a new gamma diffusion process. (2009). Nafidi, A. ; Gutierrez-Sanchez, R..
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9. Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy.
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10. A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. (2008). Li, Minqiang.
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11. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
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12. Is Volatility Priced?. (2008). Hung, Ken ; Lin, Yueh-Neng .
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13. Volatility, Jumps and Predictability of Returns: a Sequential Analysis. (2008). Raggi, Davide ; Bordignon, S..
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14. Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models. (2008). Posedel, Petra ; Hubalek, Friedrich.
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15. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
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16. Efficient estimation for ergodic diffusions sampled at high frequency. (2008). Sørensen, Michael ; Sorensen, Michael.
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17. Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation. (2007). Hurn, Stan ; Jeisman, J. ; Lindsay, K..
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18. Parameter estimation from multinomial trees to jump diffusions with k means clustering. (2007). Xu, Mingxin ; Lee, Kiseop.
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19. Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions. (2007). Kimmel, Robert L..
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20. Simulation-based Estimation of Contingent-claims Prices. (2007). Yu, Jun ; Phillips, Peter.
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21. Inference for stochastic volatility models using time change transformations. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
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23. A Simulation Based Specification Test for Diffusion Processes. (2006). Swanson, Norman ; Bhardwaj, Geetesh ; Corradi, Valentina.
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24. Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation. (2006). Hurn, Stan.
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25. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations. (2006). Hurn, Stan.
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26. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2. (2006). Hurn, Stan ; Jeisman, J. ; Lindsay, K. A..
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27. Nonparametric Econometrics: Theory and Practice. (2006). Racine, Jeffrey Scott ; Li, QI.
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28. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
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29. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan. (2005). Yu, Jun ; Phillips, Peter.
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30. Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview. (2005). .
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31. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations. (2005). Yu, Jun ; Phillips, Peter.
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32. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
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33. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). Chiarella, Carl ; Bhar, Ram ; To, Thuy-Duong .
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39. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
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40. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility. (2003). Steel, Mark ; Griffin, James E..
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41. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
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43. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes. (2003). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome B..
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44. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
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45. Closed-Form Likelihood Expansions for Multivariate Diffusions. (2002). Ait-Sahalia, Yacine.
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46. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2002). Ait-Sahalia, Yacine ; Kimmel, Robert.
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47. Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey.. (2002). Sorensen, Helle .
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48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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49. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate. (2001). Yu, Jun ; Phillips, Peter.
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50. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
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