Option Prices for Risk-Neutral Density Estimation Using Nonparametric Methods through Big Data and Large-Scale Problems
Ana M. Monteiro, António Santos
Journal of Futures Markets, vol. 42, 2022, p. 152-171.

Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework
António Santos
Computational Economics, vol. 57, 2021, p. 455-479.

Conditional Risk-Neutral Density from Option Prices by Local Polynomial Kernel Smoothing with No-Arbitrage Constraints
Ana M. Monteiro, António Santos
Review Of Derivatives Research, vol. 23, 2020, p. 41-61.

Second-Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers
Jim Smith, António Santos
Journal of Business and Economic Statistics, vol. 24, 2006, p. 329-337.