Publications of Bjorn Eraker    :chronological  combined  bibtex listing:

Preprints

1. B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, Journal of Finance (2003)

Journal Articles

1. B. Eraker, "MCMC Analysis of Diffusion Processes with Application to Finance", Journal of Business and Economic Statistics, vol. 19 no. 2 (April, 2001), pp. 177-191
2. B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, Journal of Finance, vol. xxx (March, 2004), pp. yyyy
3. B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, in Journal of Finance, forthcoming (2003)
4. B. Eraker, M. Johannes, and N. Polson, The Impact of Jumps in Returns and Volatility, Journal of Finance, vol. 53 (2003), pp. 1269-1300, American Finance Association [~bjorne]