Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Year of publication: |
2001
|
---|---|
Authors: | Barndorff-Nielsen, Ole E. ; Shephard, Neil |
Subject: | Financial economics | Econometrics |
-
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
Bollerslev, T., (2005)
-
Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes
Teyssiere, G., (1995)
-
Wealth Effects in Europe; A Tale of Two Countries (Italy and the United Kingdom)
Muñoz, Sònia, (2006)
- More ...
-
Realised power variation and stochastic volatility models
Barndorff-Nielsen, Ole E., (2001)
-
How accurate is the asymptotic approximation to the distribution of realised volatility?
Barndorff-Nielsen, Ole E., (2001)
-
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
BARNDORFF-NIELSEN, OLE E., (2004)
- More ...