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Processes of normal inverse Gaussian type

Barndorff-Nielsen, Ole E. - In: Finance and stochastics 2 (1998) 1, pp. 41-68

Persistent link: https://www.econbiz.de/10001230156

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Modelling and measuring volatility

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2008

Persistent link: https://www.econbiz.de/10003807449

Multipower variation for Brownian semistationary processes

Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009

Persistent link: https://www.econbiz.de/10003849554

Stochastic volatility of volatility in continuous time

Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009

Persistent link: https://www.econbiz.de/10003849562

Variation, jumps and high-frequency data in financial econometrics

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2007

Persistent link: https://www.econbiz.de/10003691562

Stochastic volatility of volatility and variance risk premia

Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10009708931

The multivariate supOU stochastic volatility model

Barndorff-Nielsen, Ole E.; Stelzer, Robert - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 275-296

Persistent link: https://www.econbiz.de/10009721748

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

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