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Discrete-valued Lévy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, … - 2010
Persistent link: https://www.econbiz.de/10003981997
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Basics of Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2012
Persistent link: https://www.econbiz.de/10009579520
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Measuring downside risk : realised semivariance
Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, … - 2008
Persistent link: https://www.econbiz.de/10003807090
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003334801
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003363996
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Variation, jumps, market frictions and high frequency data in financial econometrics
Barndorff-Nielsen, Ole E. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002998132
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Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2008
Persistent link: https://www.econbiz.de/10003818473
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Income contingent tuition fees for universities
Shephard, Neil G. - 2009
Persistent link: https://www.econbiz.de/10003898300
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Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.; Xiu, Dacheng - 2012
Persistent link: https://www.econbiz.de/10009531407
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Martingale unobserved component models
Shephard, Neil G. - 2013
Persistent link: https://www.econbiz.de/10009732804