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Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Inference and forecasting for continuous-time integer-valued trawl processes

Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10014365470

Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice

Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518

Persistent link: https://www.econbiz.de/10011692391

Relative contagiousness of emerging virus variants : an analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants

Hansen, Peter Reinhard - In: The econometrics journal 25 (2022) 3, pp. 739-761

Persistent link: https://www.econbiz.de/10013399866

Equivalence between out-of-sample forecast comparisons and Wald statistics

Hansen, Peter Reinhard; Timmermann, Allan - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 6, pp. 2485-2505

Persistent link: https://www.econbiz.de/10011431548

A martingale decomposition of discrete Markov chains

Hansen, Peter Reinhard - In: Economics letters 133 (2015), pp. 14-18

Persistent link: https://www.econbiz.de/10011431805

Option pricing with the realized GARCH model : an analytical approximation approach

Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358

Persistent link: https://www.econbiz.de/10011950674

Exponential GARCH modeling with realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 269-287

Persistent link: https://www.econbiz.de/10011691332

A dynamic model of vaccine compliance : how fake news undermined the Danish HPV vaccine program

Hansen, Peter Reinhard; Schmidtblaicher, Matthias - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 259-271

Persistent link: https://www.econbiz.de/10012424514

Wealth concentration in the US after augmenting the upper tail of the survey of consumer finances

Bricker, Jesse; Hansen, Peter Reinhard; Henriques, Alice M. - In: Economics letters 184 (2019), pp. 1-4

Persistent link: https://www.econbiz.de/10012304768