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Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics.
Barndorff-Nielsen, O.E.; Shepard, N. - Economics Group, Nuffield College, University of Oxford - 2000
Non-Gaussian processes of Ornsetin-Uhlenbeck type, or OU processes for short, offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modeling of dependence structure. This paper develops this potential, drawing on and extending powerful results...
Persistent link: https://www.econbiz.de/10005687562
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Quasi profile and directed likelihoods from estimating functions
Barndorff-Nielsen, O.E. - In: Annals of the Institute of Statistical Mathematics : AISM 47 (1995) 3, pp. 461-464
Persistent link: https://www.econbiz.de/10007336434
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HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
Iglesias, Emma M.; Linton, Oliver B.; Andrews, D.W.K.; … - In: Econometric theory 23 (2007) 6, pp. 1136-1161
Persistent link: https://www.econbiz.de/10007869213
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Realized kernels in practice: trades and quotes
Barndorff-Nielsen, O.E.; Hansen, P.Reinhard; Lunde, A.; … - In: The econometrics journal 12 (2009) 3, pp. C1
Persistent link: https://www.econbiz.de/10008336842
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Probability densities and Lévy densities
Barndorff-Nielsen, Ole E. - 2000
Persistent link: https://www.econbiz.de/10001500129