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Integrated OU Processes and No...
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Barndorff-Nielsen, Ole E.
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116
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58
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37
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35
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ECONIS (ZBW)
122
RePEc
103
OLC EcoSci
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41
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:
42
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
Saved in:
43
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:
44
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
Saved in:
45
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:
46
Change of time and change of measure
Barndorff-Nielsen, Ole E.
;
Širjaev, Alʹbert N.
-
2010
Persistent link: https://www.econbiz.de/10009237173
Saved in:
47
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:
48
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:
49
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:
50
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:
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