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type_genre:"Working Paper"
~type_genre:"Dissertation u.a. Prüfungsschriften"
~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
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Search: subject_exact:"Stochastic process"
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Stochastic process
19
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5
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Barndorff-Nielsen, Ole E.
5
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2
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1
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ECONIS (ZBW)
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1
Ensuring the validity of the micro foundation in DSGE models
Møller Andreasen, Marin
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003734493
Saved in:
2
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Küchler, Uwe
(
contributor
);
Sørensen, Michael
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003413529
Saved in:
3
Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003233706
Saved in:
4
Ruin probabilities and aggregate claims distributions for shot noise Cox processes
Albrecher, Hansjörg
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003093888
Saved in:
5
Term structure of interest models : concept and estimation problem in a continuous-time setting
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507013
Saved in:
6
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
7
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
8
Spectral analysis of fractionally cointegrated systems
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838618
Saved in:
9
Local empirical spectral measure of multivariate processes with long range dependence
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838828
Saved in:
10
Modelling PCS options via individual indices
Schmidli, Hanspeter
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793914
Saved in:
11
Power and bipower variation with stocjastic volatility and jumps
Brandorff-Nielsen, Ole E.
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001763251
Saved in:
12
Diffusion-type models with given marginal and autocorrelation function
Bibby, Bo Martin
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748916
Saved in:
13
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
14
Integrated OU processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001560040
Saved in:
15
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
16
A note on a representation and calculation of the long-memory Ornstein-Uhlenbeck process
Høg, Esben P.
-
2000
Persistent link: https://www.econbiz.de/10001500125
Saved in:
17
Feller processes of Normal Inverse Gaussian type
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543241
Saved in:
18
Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
1999
Persistent link: https://www.econbiz.de/10001455827
Saved in:
19
Market forces and dynamic asset pricing
Peskir, G.
;
Shorish, Jamsheed
-
1999
Persistent link: https://www.econbiz.de/10001458252
Saved in:
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