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Trades and quotes : a bivariate point process
Engle, Robert F.; Lunde, Asger - 1998
Persistent link: https://www.econbiz.de/10000983784
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A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Floor Brix, Anne; Lunde, Asger; Wei, Wei - 2015
Persistent link: https://www.econbiz.de/10011373234
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Reflections on the probability space induced by moment conditions with implications for Bayesian inference : author response to comments
Gallant, A. Ronald - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 284-294
Persistent link: https://www.econbiz.de/10011591037
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Regular and modified kernel-based estimator of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004
Persistent link: https://www.econbiz.de/10002704173
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Regular and modified kernel-based estimators of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491800
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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; … - 2009
Persistent link: https://www.econbiz.de/10003854421
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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. 149-169
Persistent link: https://www.econbiz.de/10009270667
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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; … - 2008
Persistent link: https://www.econbiz.de/10003807445
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Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger; Floor Brix, Anne - 2013
Persistent link: https://www.econbiz.de/10009763883
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Estimating the persistence and the autocorrelation function of a time series that is measured with error
Hansen, Peter Reinhard; Lunde, Asger - In: Econometric theory 30 (2014) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10010399787