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Multipower variation and stoch...
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Shephard, Neil
308
Barndorff-Nielsen, Ole E.
240
Shephard, Neil G.
150
Chib, Siddhartha
43
Lunde, Asger
42
Sheppard, Kevin
38
Hansen, Peter Reinhard
35
Podolskij, Mark
16
Sentana, Enrique
15
Fiorentini, Gabriele
14
Graversen, Svend Erik
14
Koopman, Siem Jan
14
Noureldin, Diaa
14
Rydberg, Tina Hviid
13
Jacod, Jean
12
Benth, Fred Espen
11
Veraart, Almut E. D.
11
Bos, Charles S.
10
Nakajima, Jouchi
10
Nardari, Federico
10
Omori, Yasuhiro
10
Shephard, N.
10
Barndorff-Nielsen, O.
9
Flury, Thomas
9
Kim, Sangjoon
9
Rahbek, Anders
9
Britton, Jack
8
Corcuera, José Manuel
8
Veraart, Almut
8
Barndorff-Nielsen, Ole
7
Harvey, Andrew C.
7
Kinnebrock, Silja
7
Pollard, David G.
7
Barndorff-Nielsen, O. E.
6
Bec, Frédérique
6
Engle, Robert F.
6
Mykland, Per A.
6
Pakel, Cavit
6
Pitt, Michael K
6
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25
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10
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10
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7
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Conference State Space and Unobserved Component Models <2002, Amsterdam>
1
Conference on Realized Volatility <2006, Montréal>
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1
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Economics Series Working Papers / Department of Economics, Oxford University
69
Economics Papers / Economics Group, Nuffield College, University of Oxford
62
Economics discussion papers
34
OFRC Working Papers Series
25
Journal of econometrics
23
Department of Economics discussion paper series / University of Oxford
20
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17
Oxford Financial Research Centre economics series
12
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11
Journal of Econometrics
11
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10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Econometric theory
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Stochastic Processes and their Applications
7
Scandinavian Journal of Statistics
6
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5
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5
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Journal of Business & Economic Statistics
4
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Suntory Toyota International Centre for Economics and Related Disciplines
4
The econometrics journal
4
Discussion paper / Tinbergen Institute
3
Finance and stochastics
3
IFS Working Papers
3
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Journal of the Royal Statistical Society Series B
3
Quantitative Finance
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The review of economic studies
3
Advanced texts in econometrics
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RePEc
257
ECONIS (ZBW)
242
OLC EcoSci
32
BASE
18
EconStor
8
Other ZBW resources
4
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 204-219
Persistent link: https://www.econbiz.de/10009242524
Saved in:
22
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
Saved in:
23
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
Saved in:
24
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:
25
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:
26
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:
27
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:
28
Variation, jumps, market frictions and high frequency data in financial econometrics
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003178754
Saved in:
29
Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.
;
Graversen, Svend Erik
; …
-
2005
Persistent link: https://www.econbiz.de/10003178786
Saved in:
30
Variation, jumps, market frictions and high frequency data in financial econometrics
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10002997267
Saved in:
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