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Aviso Citação indefinida do bibtex (exportação do Mendeley)

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Aviso Citação indefinida do bibtex (exportação do Mendeley)

Tenho problemas ao compilar meu código. Latex me diz que é o trecho de código mostrado abaixo. O arquivo bibtex parece ter o formato correto (eu o exportei do Mendeley), mas o LaTeX me avisa e diz que há uma citação indefinida (Bakshi2003). Alguma idéia de como mudar isso? (Segui um exemplo onde parecia funcionar).

\documentclass[12pt]{article}
\usepackage{graphicx}
\usepackage[top=2.5cm, bottom=2.5cm, left=2.5cm, right=2.5cm]{geometry}
\usepackage{fancyhdr}
\usepackage[british,UKenglish,USenglish,english,american]{babel}
\usepackage[utf8]{inputenc} 
\usepackage{lmodern}
\usepackage[T1]{fontenc}
\usepackage{url}
\usepackage{amsmath}
\usepackage{amsfonts,graphicx,amsmath,amssymb,hyperref,color}
\usepackage[all]{xy}
\usepackage{setspace}
\usepackage{natbib}
\usepackage{blindtext}
%\usepackage{cite}
\onehalfspacing
%\input xy
%\xyoption{all}
\makeindex
\frenchspacing
\sloppy
\usepackage{times}
\usepackage{tikz}
%\usetikzlibrary{arrows,automata}
\usepackage{mathrsfs}
\numberwithin{equation}{section}
\title{Option Implied Distributions}
\author{Nis Mathias Schulte Matzen}



\begin{document}
%\maketitle
%\publishdate{\toda}
%\makeauthor
\begin{titlepage}
\begin{center}
    \vspace*{1cm}

    \Huge
    \textbf{Option Implied Distributions}

    \vspace{0.5cm}
    \LARGE
    A study of risk neutral return distributions

    \vspace{1.5cm}

    \textbf{Nis Mathias Schulte Matzen}

    \vfill

    A thesis presented for the degree of\\
    Master in Economics (Cand.polit)

    \vspace{0.8cm}

    %\includegraphics[width=0.4\textwidth]{university}

    \Large
    Department of Economics\\
    University of Copenhagen\\
    Denmark\\
    \date{}

\end{center}
\end{titlepage}
\begin{abstract}
Abstract here...
\end{abstract}
\newpage
\tableofcontents
\newpage
\subsection{Introduction}% a
Here is yada yada \cite{Bakshi2003} yada.

\bibliographystyle{plain}
\bibliography{Thesis.bib}
\end{document}

O arquivo Thesis.bib tem esta aparência:

@article{Bakshi2003, 
author = {Bakshi, G.}, doi = {10.1093/rfs/hhg002}, 
file = {:C$\backslash$:/Users/Mathias/Dropbox/Speciale/Delta-hedgedgains 
and the negative   market volatility risk premium.pdf:pdf}, issn = {14657368},  
journal = {Review of Financial Studies}, month = apr, number = {2}, pages = {527--
566}, title = {{Delta-Hedged Gains and the Negative Market Volatility Risk
Premium}}, url = {rfs.oupjournals.org/cgi/doi/10.1093/rfs/hhg002}, volume = {16},
year = {2003} }

Responder1

O exemplo funciona bem depois que eu faço essa substituição

\bibliography{Thesis.bib} -> \bibliography{Thesis}

e use pdflatex, bibtex, pdflatex, pdflatex

Aliás: um MWE muito mais simples:

\begin{filecontents*}{Thesis.bib}
@article{Bakshi2003, 
  author = {Bakshi, G.}, 
doi = {10.1093/rfs/hhg002}, 
file =
{:C$\backslash$:/Users/Mathias/Dropbox/Speciale/Delta-hedgedgains and
  the negative market volatility risk premium.pdf:pdf}, 
issn = {14657368}, journal = {Review of Financial Studies}, month =
apr, number = {2}, 
pages = {527--566}, title = {{Delta-Hedged Gains and the Negative
    Market Volatility Risk Premium}}, 
url = {rfs.oupjournals.org/cgi/doi/10.1093/rfs/hhg002}, volume = {16}, year = {2003} }
\end{filecontents*}
\documentclass[12pt]{article}
\usepackage[utf8]{inputenc} 
\usepackage{lmodern}
\usepackage[T1]{fontenc}
\usepackage{url}
\begin{document}
Here is yada yada \cite{Bakshi2003} yada.

\bibliographystyle{plain}
\bibliography{Thesis}
\end{document}

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