A

Alexander, Carol and Rauch, Johannes (2021) A general property for time aggregation. European Journal of Operational Research, 291 (2). pp. 536-548. ISSN 0377-2217

B

Bevilacqua, Mattia, Morelli, David and Tunaru, Radu (2019) The determinants of the model-free positive and negative volatilities. Journal of International Money and Finance, 92. pp. 1-24. ISSN 0261-5606

E

Eom, Cheoljun, Kaizoji, Taisei and Scalas, Enrico (2019) Fat tails in financial return distributions revisited: evidence from the Korean stock market. Physica A Statistical Mechanics and its Applications, 526. p. 121055. ISSN 0378-4371

F

Fabozzi, Frank J, Paletta, Tommaso, Stanescu, Silvia and Tunaru, Radu (2016) An improved method for pricing and hedging long dated American options. European Journal of Operational Research, 254 (2). pp. 656-666. ISSN 0377-2217

G

Gao, Ya and Cowling, Marc (2019) Introduction to panel data, multiple regression method, and principal components analysis using stata: study on the determinants of executive Compensation—A behavioral approach using evidence from Chinese listed firms. Sage Research Methods Cases. pp. 1-27.

H

Hopper, Trevor and Hoque, Zahirul (2006) Triangulation approaches to accounting research. In: Hoque, Zahirul (ed.) Methodological issues in accounting research: theories, methods and issues. Spiramus, London, pp. 562-569. ISBN 9781910151464

K

Kaeck, Andreas and Seeger, Norman J (2019) VIX derivatives, hedging and vol-of-vol risk. European Journal of Operational Research, 283 (2). pp. 767-782. ISSN 0377-2217

P

Ponta, Linda, Trinh, Mailan, Raberto, Marco, Scalas, Enrico and Cincotti, Silvano (2019) Modeling non-stationarities in high-frequency financial time series. Physica A: Statistical Mechanics and its Applications, 521. pp. 173-196. ISSN 0378-4371

S

Stefanescu, Catalina, Tunaru, Radu and Turnbull, Stuart (2009) The credit rating process and estimation of transition probabilities: a Bayesian approach. Journal of Empirical Finance, 16 (2). pp. 216-234. ISSN 0927-5398

Su, Haozhe, Chen, Ding and Newton, David (2017) Option pricing via QUAD: from Black–Scholes–Merton to Heston with jumps. Journal of Derivatives, 24 (3). pp. 9-27. ISSN 1074-1240

T

Tunaru, Radu S (2017) Real-Estate derivatives: from econometrics to financial engineering. Oxford University Press, Oxford. ISBN 9780198742920