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Assessing relative volatility/intermittency/energy dissipation
Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; … - 2013
Persistent link: https://www.econbiz.de/10009741420
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Information and exponential families : in statistical theory
Barndorff-Nielsen, Ole E. - 1978
Persistent link: https://www.econbiz.de/10000374801
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Gamma kernels and BSS/LSS processes
Barndorff-Nielsen, Ole E. - 2016
Persistent link: https://www.econbiz.de/10011447823
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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
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Gamma kernels and BSS/LSS processes
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
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Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-719
Persistent link: https://www.econbiz.de/10003351877
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How accurate is the asymptotic approximation to the distribution of realised variance?
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Identification and inference for econometric models : …, (pp. 306-331). 2005
Persistent link: https://www.econbiz.de/10003352563
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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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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/10003341258
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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