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Multipower variation and stoch...
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Stochastic process
Theorie
95
Theory
93
Stochastischer Prozess
64
Volatility
64
Estimation theory
56
Schätztheorie
56
Volatilität
54
Zeitreihenanalyse
47
Time series analysis
45
Econometrics
34
Quadratic variation
32
ARCH model
27
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27
Stochastic volatility
26
Realised variance
25
Markov chain Monte Carlo
23
Bayesian inference
20
stochastic volatility
20
Financial market
19
Finanzmarkt
19
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19
Multivariate Analyse
18
Multivariate analysis
18
Zustandsraummodell
18
Großbritannien
17
Realised volatility
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16
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15
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15
Schätzung
15
United Kingdom
15
Correlation
14
Korrelation
14
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13
Bayes-Statistik
12
Börsenkurs
12
Market frictions
12
Markov chain
12
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English
64
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Barndorff-Nielsen, Ole E.
43
Shephard, Neil G.
36
Chib, Siddhartha
9
Benth, Fred Espen
5
Podolskij, Mark
5
Veraart, Almut E. D.
5
Andersen, Torben
4
Stelzer, Robert
4
Veraart, Almut
4
Corcuera, José Manuel
3
Nakajima, Jouchi
3
Omori, Yasuhiro
3
Shephard, Neil
3
Corcuera, José Manual
2
Elerian, Ola
2
Nardari, Federico
2
Pitt, Michael K.
2
Bos, Charles S.
1
Cavaliere, Giuseppe
1
Graversen, Svend Erik
1
Harvey, Andrew C.
1
Levendorskij, Sergej Z.
1
Manrique, Aurora
1
Pollard, David G.
1
Schmiegel, Jürgen
1
Shepard, Neil
1
Winkel, Matthias
1
Woerner, Jeanette
1
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Centre for Analytical Finance <Århus>
6
Nuffield College
3
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8
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
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7
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4
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3
Department of Economics discussion paper series / University of Oxford
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1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
Handbook of financial time series
1
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ECONIS (ZBW)
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Integer-valued Lévy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.
;
Pollard, David G.
;
Shephard, …
-
2010
Persistent link: https://www.econbiz.de/10008659413
Saved in:
2
Basics of Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579331
Saved in:
3
Basics of Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579520
Saved in:
4
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
Saved in:
5
Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10002214180
Saved in:
6
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 217-252
Persistent link: https://www.econbiz.de/10003298574
Saved in:
7
Limit theorems for multipower variation in the presence of jumps
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003178720
Saved in:
8
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
9
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
10
Power and bipower variation with stochastic volatility and jumps : discussion
Andersen, Torben
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 37-48
Persistent link: https://www.econbiz.de/10002575826
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