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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10003313338
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Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10002214180
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Power and bipower variation with stochastic volatility and jumps : discussion
Andersen, Torben; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10002575826
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Stochastic volatility of volatility and variance risk premia
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10009708931
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A realized variance for the whole day based on intermittent high-frequency data
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of financial econometrics : official journal of … 3 (2005) 4, pp. 525-554
Persistent link: https://www.econbiz.de/10003154305
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Dynamics of trade-by-trade price movements: decomposition and models
Rydberg, Tina Hvild; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 2-25
Persistent link: https://www.econbiz.de/10002220788
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Integrated covariance estimation using high-frequency data in the presence of noise
Voev, Valeri; Lunde, Asger - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 68-104
Persistent link: https://www.econbiz.de/10003518286
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Trades and quotes : a bivariate point process
Engle, Robert F.; Lunde, Asger - In: Journal of financial econometrics : official journal of … 1 (2003) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10002214089
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Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference
Wei, Wei; Lunde, Asger - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 278-283
Persistent link: https://www.econbiz.de/10011591033
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Reflections on the probability space induced by moment conditions with implications for Bayesian inference : author response to comments
Gallant, A. Ronald - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 284-294
Persistent link: https://www.econbiz.de/10011591037