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Processes of normal inverse Gaussian type

Barndorff-Nielsen, Ole E. - In: Finance and stochastics 2 (1998) 1, pp. 41-68

Persistent link: https://www.econbiz.de/10001230156

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Power variation & stochastic volatility : a review and some new results

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001759031

Power and bipower variation with stochastic volatility and jumps

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001759032

Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes

Barndorff-Nielsen, Ole E. (contributor); … - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002106417

Realised power variation and stochastic models

Barndorff-Nielsen, Ole E. (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001607775

Integrated OU processes

Barndorff-Nielsen, Ole E. (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001560040

Non-Gaussian OU based models and some of their uses in financial economics

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 1999

Persistent link: https://www.econbiz.de/10001455827

Feller processes of Normal Inverse Gaussian type

Barndorff-Nielsen, Ole E. (contributor); … - 2000 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001543241

Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Levy-processes

Barndorff-Nielsen, Ole E. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002721767