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Shephard, Neil G.
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Barndorff-Nielsen, Ole E.
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Advances in economics and econometrics ; Vol. 3
1
Handbook of financial time series
1
Identification and inference for econometric models : essays in honor of Thomas Rothenberg
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State space and unobserved component models : theory and applications
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ECONIS (ZBW)
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Statistical aspects of ARCH and stochastic volatility
Shephard, Neil G.
- In:
Time series models : in econometrics, finance and other …
,
(pp. 1-67)
.
1996
Persistent link: https://www.econbiz.de/10001319937
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2
Stochastic volatility: origins and overview
Shephard, Neil G.
;
Andersen, Torben
- In:
Handbook of financial time series
,
(pp. 233-254)
.
2009
Persistent link: https://www.econbiz.de/10003833953
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3
Measuring and forecasting financial variability using realised variance
Barndorff-Nielsen, Ole E.
;
Nielsen, Bent
;
Shephard, Neil G.
- In:
State space and unobserved component models : theory …
,
(pp. 205-235)
.
2004
Persistent link: https://www.econbiz.de/10009719924
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4
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
Saved in:
5
Variation, jumps and high-frequency data in financial econometrics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2007
Persistent link: https://www.econbiz.de/10003691562
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