Jacquier, E., Polson, N., Rossi, P. (2018). Bayesian Analysis of Stochastic Volatility. In Torben, Andersen., Tim, Bollerslev. (Eds.), “Volatility”, Edward Elgar Publishing

Okou, C., Jacquier, E. (2016). “Horizon effect in the term structure of long-run risk-return trade-offs”, Computational Statistics and Data Analysis, 100 445-466

Kontoghiorghes, E., Van Dijk, H., Belsley, D., Bollerslev, T., Diebold, F., Dufour, J., Engle, R., Harvey, A., Koopman, S., Pesaran, H., Phillips, P., Smith, R., West, M., Yao, Q., Amendola, A., Billio, M., Chen, C., Chiarella, C., Colubi, A., Deistler, M., Francq, C., Hallin, M., Jacquier, E., Judd, K., Koop, G., Luetkepohl, H., MacKinnon, J., Mittnik, S., Omori, Y., Pollock, D., Proietti, T., Rombouts, J., Scaillet, O., Semmler, W., So, M., Steel, M., Taylor, R., Tzavalis, E., Zakoian, J., Boswijk, H., Luati, A., Maheu, J. (2014). “CFEnetwork: The Annals of Computational and Financial Econometrics 2nd Issue”, Computational Statistics and Data Analysis, 76 1-3

Jacquier, E., Okou, C. (2014). “Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships”, Journal of Financial Econometrics, 12 (3), 544-583

Jacquier, E., Polson, N. (2013). Asset Allocation in Finance: A Bayesian Perspective.”Bayesian Theory and Applications”, Oxford University Press

Jacquier, E. (2013). Modern Portfolio Theory.”Portfolio Theory and Management”, Oxford University Press

Boyer, M., Jacquier, E., Van Norden, S. (2012). “Are Underwriting Cycles Real and Forecastable?”, Journal of Risk and Insurance, 79 (4), 995-1015

Jacquier, E., Polson, N. (2011). Bayesian Econometrics in Finance.”The Oxford Handbook of Bayesian Econometrics”, Oxford University Press

Jacquier, E., Titman, S., Yalcin, A. (2010). “Predicting systematic risk: Implications from growth options”, Journal of Empirical Finance, 17 (5), 991-1005

Jacquier, E., Polson, N. (2010). Bayesian Decision-based Estimation and Predictive Inference.”Frontiers of Statistical Decision Making and Bayesian Analysis In Honor of James O. Berger”, Springer Science & Business Media

Dupuis, D., Jacquier, E., Papageorgiou, N., Remillard, B. (2009). “Empirical evidence on the dependence of credit default swaps and equity prices”, Journal of Futures Markets, 29 (8), 695-712

Jacquier, E., Polson, N., Rossi, P. (2002). “Bayesian analysis of stochastic volatility models (Reprinted)”, JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 20 (1), 69-87

Jacquier, E., Jarrow, R. (2000). “Bayesian analysis of contingent claim model error”, JOURNAL OF ECONOMETRICS, 94 (1-2), 145-180

Durbin, J., Koopman, S., Smith, J., Shephard, N., Chatfield, C., Young, P., Harvey, A., Bhansali, R., Sahu, S., Doornik, J., Nelder, J., Pitt, M., Aitkin, M., Bartlett, M., Chan, K., Tong, H., Diebold, F., van Dijk, H., Fahrmeir, L., Fruhwirth-Schnatter, S., Gamerman, D., Jacquier, E., Polson, N., Jorgensen, B., Lundbye-Christensen, S., Kitagawa, G., Higuchi, T., Kumar, K., Lee, Y., Maravall, A., Quenneville, B., Thomson, P., Zellner, A. (2000). “Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives – Discussion on the paper by Durbin and Koopman”, JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 62 29-56

Jacquier, É., Polson, N., Rossi, P. (1995). “Models and Priors for Multivariate Stochastic Volatility”,

Jacquier, E., Polson, N., Rossi, P. (1994). “Bayesian-Analysis of Stochastic Volatility Models”, Journal of Business and Economic Statistics, 12 (4), 371-389

Jacquier, E., Polson, N., Rossi, P. (1994). “Bayesian-Analysis of Stochastic Volatility Models – Reply”, Journal of Business and Economic Statistics, 12 (4), 413-417