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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004
Persistent link: https://www.econbiz.de/10002396452
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Likelihood based inference for diffusion driven models
Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002396486
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003385904
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Limit theorems for multipower variation in the presence of jumps
Barndorff-Nielsen, Ole E. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003178720
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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/10003178754
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Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2005
Persistent link: https://www.econbiz.de/10003178786
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Likelihood-based estimation of latent general ARCH structures
Fiorentini, Gabriele (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10003179153
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A feasible central limit theory for realised volatility under leverage
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984062
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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984063
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Multipower variation and stochastic volatility
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002704097