Power and bipower variation with stochastic volatility and jumps : discussion
Year of publication: |
2004
|
---|---|
Authors: | Andersen, Torben ; Shephard, Neil G. |
Other Persons: | Barndorff-Nielsen, Ole E. (contributor) |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 2.2004, 1, p. 37-48
|
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
-
Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes, (2010)
-
On the invertibility of EGARCH
Martinet, Guillaume Gaetan, (2014)
-
On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan, (2015)
- More ...
-
Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E., (2006)
-
How accurate is the asymptotic approximation to the distribution of realised variance?
Barndorff-Nielsen, Ole E., (2005)
-
Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E., (2006)
- More ...