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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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Basics of Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2012
Persistent link: https://www.econbiz.de/10009579331
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Basics of Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2012
Persistent link: https://www.econbiz.de/10009579520
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Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581672
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Probability densities and Lévy densities
Barndorff-Nielsen, Ole E. - 2000
Persistent link: https://www.econbiz.de/10001500129
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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001834989
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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E. (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838599
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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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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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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