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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
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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 G. - In: Journal of econometrics 131 (2006) 1/2, pp. 217-252
Persistent link: https://www.econbiz.de/10003298574
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Annals of econometrics: cointegration and dynamics in economics
Hendry, David F. (contributor);  … - In: Journal of econometrics 80 (1997) 2, pp. 199-422
Persistent link: https://www.econbiz.de/10001226816
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Stochastic volatility with leverage: Fast and efficient likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; … - In: Journal of econometrics 140 (2007) 2, pp. 425-449
Persistent link: https://www.econbiz.de/10007761426
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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - In: Journal of econometrics 134 (2006) 2, pp. 341-372
Persistent link: https://www.econbiz.de/10007279810
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Testing the assumptions behind importance sampling
Koopman, Siem Jan; Shephard, Neil; Creal, Drew - In: Journal of econometrics 149 (2009) 1, pp. 2-12
Persistent link: https://www.econbiz.de/10008899335