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How accurate is the asymptotic approximation to the distribution of realised variance?
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Identification and inference for econometric models : …, (pp. 306-331). 2005
Persistent link: https://www.econbiz.de/10003352563
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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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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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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/10003818473
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
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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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Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009
Persistent link: https://www.econbiz.de/10003914217
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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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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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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