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1. Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. (2021). Gloter, Arnaud ; Amorino, Chiara.
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   RePEc:spr:sistpr:v:24:y:2021:i:1:d:10.1007_s11203-020-09227-z.

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2. Efficient estimation and filtering for multivariate jump–diffusions. (2021). Schwenkler, Gustavo ; Guay, Franois.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:223:y:2021:i:1:p:251-275.

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3. The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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4. Parameter estimation for discretely observed linear birth?and?death processes. (2021). Kraus, A ; Hautphenne, S ; Davison, A C.
   In: Biometrics.
   RePEc:bla:biomet:v:77:y:2021:i:1:p:186-196.

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5. Contrast function estimation for the drift parameter of ergodic jump diffusion process. (2020). Gloter, Arnaud ; Amorino, Chiara.
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   RePEc:bla:scjsta:v:47:y:2020:i:2:p:279-346.

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6. Saddlepoint approximations for short and long memory time series: A frequency domain approach. (2019). Ronchetti, Elvezio ; la Vecchia, Davide.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:213:y:2019:i:2:p:578-592.

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7. Simulated likelihood estimators for discretely observed jump–diffusions. (2019). Schwenkler, G ; Giesecke, K.
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   RePEc:eee:econom:v:213:y:2019:i:2:p:297-320.

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8. A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian.
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   RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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9. Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael.
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10. Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method. (2016). Zhang, Mengzhe ; Chan, Leunglung.
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11. Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan.
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12. Efficient computation of the quasi likelihood function for discretely observed diffusion processes. (2016). Hook, Lars Josef ; Lindstrom, Erik.
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13. Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola .
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14. Likelihood Estimation for the INAR( p ) Model by Saddlepoint Approximation. (2015). Pedeli, Xanthi ; Fokianos, Konstantinos ; Davison, Anthony C.
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15. Saddlepoint Approximations of the Distribution of the Person Parameter in the Two Parameter Logistic Model. (2015). Doebler, Philipp ; Holling, Heinz ; Biehler, Martin .
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16. Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes. (2015). Hook, Lars Josef ; Lindstrom, Erik.
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17. Risk adjustments of option prices under time-changed dynamics. (2014). Sloth, D. ; Nicolato, E..
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18. Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance. (2014). Zheng, Wendong ; Kwok, Yue Kuen.
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19. Maximum likelihood estimation of partially observed diffusion models. (2014). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
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20. The delta expansion for the transition density of diffusion models. (2014). Lee, Eun-Kyung ; Song, Seongjoo .
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21. The G\{a}rtner-Ellis theorem, homogenization, and affine processes. (2014). Gulisashvili, Archil ; Teichmann, Josef.
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22. Order Estimates for the Exact Lugannani-Rice Expansion. (2014). Sekine, Jun ; Kato, Takashi ; Yoshikawa, Kenichi .
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23. Density approximations for multivariate affine jump-diffusion processes. (2013). Filipovi, Damir ; Schneider, Paul ; Mayerhofer, Eberhard .
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24. Parameter estimation for multivariate diffusion systems. (2013). Varughese, Melvin M..
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25. Bias in the estimation of the mean reversion parameter in continuous time models. (2012). Yu, Jun ; JunYu, .
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26. Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models. (2011). Mele, Antonio ; Kristensen, Dennis.
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27. Bias in estimating multivariate and univariate diffusions. (2011). Yu, Jun ; Wang, Xiaohu ; Phillips, Peter ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:228-245.

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28. Bias in Estimating Multivariate and Univariate Diffusions. (2011). Yu, Jun ; Wang, Xiaohu ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
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    RePEc:cwl:cwldpp:1778.

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29. Density Approximations for Multivariate Affine Jump-Diffusion Processes. (2011). Schneider, Paul ; Damir Filipovi'c, ; Mayerhofer, Eberhard .
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30. Simulation-based Estimation Methods for Financial Time Series Models. (2010). Yu, Jun ; JunYu, .
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31. Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time. (2010). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J. ; JunYu, .
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32. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models. (2009). Yu, Jun.
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33. Saddlepoint approximations for affine jump-diffusion models. (2009). Kim, Kyoung-Kuk ; Glasserman, Paul.
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34. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models. (2009). Yu, Jun ; JunYu, .
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35. Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models. (2009). Mele, Antonio ; Kristensen, Dennis.
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36. Infinitesimal Robustness for Diffusions. (2008). Trojani, Fabio ; la Vecchia, Davide .
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    RePEc:usg:dp2008:2008-09.

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37. Optimal Fourier Inversion in Semi-analytical Option Pricing. (2007). Kahl, Christian ; Lord, Roger .
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38. Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan. (2007). Yu, Jialin .
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39. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1597.

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40. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance. (2006). Yu, Jun ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
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    RePEc:eab:develo:22471.

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