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Variation, jumps and high-frequency data in financial econometrics

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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

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Variation, jumps, market frictions and high frequency data in financial econometrics

Barndorff-Nielsen, Ole E. (contributor); … - 2005

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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

Variation, jumps, market frictions and high frequency data in financial econometrics

Barndorff-Nielsen, Ole E. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002997267

Variation, jumps, market frictions and high frequency data in financial econometrics

Barndorff-Nielsen, Ole E. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002998132

Limit theorems for bipower variation in financial econometrics

Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2005

Persistent link: https://www.econbiz.de/10002689302

Limit theorems for multipower variation in the presence of jumps

Barndorff-Nielsen, Ole E. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002689309

Modelling by Lévy processes for financial econometrics

Barndorff-Nielsen, Ole E.; Shepard, N. - 2000

Persistent link: https://www.econbiz.de/10001500135

Estimating quadratic variation using realized variance

Barndorff-Nielsen, Ole E.; Shephard, Neil - 2002

M squared returns. This econometrics has been motivated by the advent of the common availability of high …. (2002). 'Estimating quadratic variation using realized variance', Journal of Applied Econometrics, 17(5), 457 …

Persistent link: https://www.econbiz.de/10009441446