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French, Kris F.
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1

Nonlinear Kalman filtering in affine term structure models:

, In: Management science
Dorion, Christian ; Karoui, Lotfi ; Christoffersen, Peter F... (2014)  9 - p. 2248-2268
Copies: Zentrale;
 
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2

Volatility components, affine restrictions, and nonnormal i..:

, In: Journal of business & economic statistics
Dorion, Christian ; Christoffersen, Peter F. ; Jacobs, Kris. (2010)  4 - p. 483-502
Copies: Zentrale;
 
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3

The shape and term structure of the index option smirk 

, In: Management science
why multifactor stochastic volatility models work so well 
Christoffersen, Peter F.. (2009)  12 - p. 1914-1932
Copies: Zentrale;
 
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