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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
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Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.; Xiu, Dacheng - 2012
Persistent link: https://www.econbiz.de/10009531407
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Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.; Xiu, Dacheng - 2012
Persistent link: https://www.econbiz.de/10009532682
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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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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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Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - 1998
Persistent link: https://www.econbiz.de/10000167948
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Stochastic volatility : likelihood inference and comparison with ARCH models
Kim, Sangjoon; Shephard, Neil G.; Chib, Siddhartha - 1997
Persistent link: https://www.econbiz.de/10000932608
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Dynamics of trade-by-trade price movements : decomposition and models
Rydberg, Tina Hviid; Shephard, Neil G. - 1998
Persistent link: https://www.econbiz.de/10001369502
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Statistical aspects of ARCH and stochastic volatility
Shephard, Neil G. - In: Time series models : in econometrics, finance and other …, (pp. 1-67). 1996
Persistent link: https://www.econbiz.de/10001319937
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From characteristic function to distribution function : a simple framework for the theory
Shephard, Neil G. - In: Econometric theory 7 (1991) 4, pp. 519-529
Persistent link: https://www.econbiz.de/10001117734