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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of econometrics 131 (2006) 1, pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 162 (2011) 2, pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-219
Persistent link: https://www.econbiz.de/10009242524
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Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 162 (2011) 2, pp. 149-169
Persistent link: https://www.econbiz.de/10009270667
Cover Image
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of econometrics 131 (2006) 1/2, pp. 217-252
Persistent link: https://www.econbiz.de/10003298574