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Volatility Components, Affine Restrictions, and Nonnormal Innovations. (2010). Christoffersen, Peter ; Dorion, Christian ; Wang, Yintian ; Jacobs, Kris.
In: Journal of Business & Economic Statistics.
RePEc:bes:jnlbes:v:28:i:4:y:2010:p:483-502.

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

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  2. A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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  3. Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution. (2022). Nadarajah, Saralees ; Teimouri, Mahdi.
    In: Computational Economics.
    RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10162-1.

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  4. VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156.

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  5. Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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  6. VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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  7. Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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  8. Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model. (2019). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:6:p:744-776.

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  9. A profitable modification to global quadratic hedging. (2019). Godin, Frederic ; Augustyniak, Maciej ; Simard, Clarence.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:104:y:2019:i:c:p:111-131.

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  10. Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?. (2018). Joslin, Scott.
    In: Management Science.
    RePEc:inm:ormnsc:v:64:y:2018:i:4:p:1707-1726.

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  11. Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: Papers.
    RePEc:arx:papers:1808.09666.

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  12. A robust statistical approach to select adequate error distributions for financial returns. (2017). Hambuckers, J ; Heuchenne, C.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:44:y:2017:i:1:p:137-161.

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

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  14. 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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  15. A macro-finance term structure model with multivariate stochastic volatility. (2016). Laurini, Márcio ; Caldeira, Joo F.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:44:y:2016:i:c:p:68-90.

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  16. A note on the Wang transform for stochastic volatility pricing models. (2016). Badescu, Alexandru ; Ortega, Juan-Pablo ; Cui, Zhenyu.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:189-196.

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  17. 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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  18. 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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  19. Non-Gaussian GARCH option pricing models and their diffusion limits. (2015). Badescu, Alexandru ; Ortega, Juan-Pablo ; Elliott, Robert J.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:247:y:2015:i:3:p:820-830.

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  20. What is beneath the surface? Option pricing with multifrequency latent states. (2015). Calvet, Laurent ; Leippold, Markus ; Fisher, Adlai J. ; Fearnley, Marcus .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:498-511.

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  21. Model-based pricing for financial derivatives. (2015). Zhu, Ke ; Ling, Shiqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:447-457.

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  22. Option pricing under GARCH models with Hansens skewed-t distributed innovations. (2015). Ng, Andrew Cheuk-Yin ; Liu, Yanxin .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:108-125.

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  23. Which pricing approach for options under GARCH with non-normal innovations?. (2015). Stentoft, Lars ; Simonato, Jean-Guy.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-32.

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  24. Model-based pricing for financial derivatives. (2014). Zhu, Ke ; Ling, Shiqing.
    In: MPRA Paper.
    RePEc:pra:mprapa:56623.

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  25. Calibration of the Volatility in Option Pricing Using the Total Variation Regularization. (2014). Yang, Yu-Fei ; Wang, Shou-Lei ; Zeng, Yu-Hua.
    In: Journal of Applied Mathematics.
    RePEc:hin:jnljam:510819.

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

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  27. 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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  28. 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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  29. Stock price dynamics and option valuations under volatility feedback effect. (2013). Kanniainen, Juho ; Piche, Robert .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:4:p:722-740.

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  30. Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets. (2013). Kaeck, Andreas.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:9:p:1872-1888.

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  31. Analytic Moments for GARCH Processes. (2011). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-07.

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

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