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Some parametric models on the...
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Theorie
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Barndorff-Nielsen, Ole E.
89
Shephard, Neil G.
58
Hansen, Peter Reinhard
15
Lunde, Asger
15
Graversen, Svend Erik
6
Veraart, Almut E. D.
6
Barndorff-Nielsen, O. E.
5
Benth, Fred Espen
4
Jacod, Jean
4
Podolskij, Mark
4
Stelzer, Robert
4
Pollard, David G.
3
Shepard, Neil
3
Corcuera, José Manual
2
Kinnebrock, Silja
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Prause, Karsten
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Schmiegel, Jürgen
2
Winkel, Matthias
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Hansen, P. Reinhard
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Jacob, Jean
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Levendorskii, S. Z.
1
Levendorskij, Sergej Z.
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Lindner, Alexander M.
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Lunde, A.
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Nielsen, Bent
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Shepard, N.
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Shephard, N.
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ECONIS (ZBW)
90
RePEc
4
OLC EcoSci
1
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31
Basics of Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579520
Saved in:
32
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:
33
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:
34
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:
35
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:
36
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:
37
Change of time and change of measure
Barndorff-Nielsen, Ole E.
;
Širjaev, Alʹbert N.
-
2010
Persistent link: https://www.econbiz.de/10009237173
Saved in:
38
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:
39
Gamma kernels and BSS/LSS processes
Barndorff-Nielsen, Ole E.
-
2016
Persistent link: https://www.econbiz.de/10011447823
Saved in:
40
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:
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