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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

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - 2016

Persistent link: https://www.econbiz.de/10011447823

Ambit processes and stochastic partial differential equations

Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010

Persistent link: https://www.econbiz.de/10003959801

Modelling energy spot prices by Lévy semistationary processes

Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010

Persistent link: https://www.econbiz.de/10003959807

Modelling electricity forward markets by ambit fields

Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010

Persistent link: https://www.econbiz.de/10008651704

Multipower variation for Brownian semistationary processes

Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009

Persistent link: https://www.econbiz.de/10003849554

Stochastic volatility of volatility in continuous time

Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009

Persistent link: https://www.econbiz.de/10003849562

Assessing relative volatility/intermittency/energy dissipation

Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; … - 2013

Persistent link: https://www.econbiz.de/10009741420

Integer-valued Lévy processes and low latency financial econometrics

Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, … - 2010

Persistent link: https://www.econbiz.de/10008659413

Limit theorems for functionals of higher order differences of Brownian semi-stationary processes

Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009

Persistent link: https://www.econbiz.de/10003914217