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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. 677-720
Persistent link: https://www.econbiz.de/10007268465
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of econometrics 131 (2006) 1, pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 3, pp. 885-926
Persistent link: https://www.econbiz.de/10006757323
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
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The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 179-180
Persistent link: https://www.econbiz.de/10008222689
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Estimating quadratic variation using realized variance
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of applied econometrics 17 (2002) 5, pp. 457-478
Persistent link: https://www.econbiz.de/10006970947
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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 162 (2011) 2, pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
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Saddlepoint Approximations for the Probability of Ruin in Finite Time
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter - In: Scandinavian actuarial journal : Actuarial Society of … (1995) 2, pp. 169-186
Persistent link: https://www.econbiz.de/10005994449
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Apparent scaling
Barndorff-Nielsen, Ole E.; Prause, Karsten - In: Finance and stochastics 5 (2001) 1, pp. 103-114
Persistent link: https://www.econbiz.de/10008217234
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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - In: Journal of econometrics 134 (2006) 2, pp. 341-372
Persistent link: https://www.econbiz.de/10007279810