Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
Ole E. Barndorff-Nielsen and Neil Shephard
| Year of publication: |
Nov. 2000 ; [Elektronische Resource]
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| Other Persons: | Barndorff-Nielsen, Ole E. (contributor) ; Shephard, Neil G. (contributor) |
| Publisher: |
Aarhus : Centre for Analytical Finance, Univ. of Aarhus, Aarhus School of Business |
| Subject: | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Regressionsanalyse | Regression analysis |
| Extent: | Online-Ressource, 26 p., text ill |
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| Series: | Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business. - Aarhus, ZDB-ID 2678180-3. - Vol. 72 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001533130