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Information and exponential families : in statistical theory

Barndorff-Nielsen, Ole E. - 1978

Persistent link: https://www.econbiz.de/10000374801

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - 2016

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

Gamma kernels and BSS/LSS processes

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

Probability densities and Lévy densities

Barndorff-Nielsen, Ole E. - 2000

Persistent link: https://www.econbiz.de/10001500129

Modelling by Lévy processes for financial econometrics

Barndorff-Nielsen, Ole E.; Shepard, N. - 2000

Persistent link: https://www.econbiz.de/10001500135

Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models

Barndorff-Nielsen, Ole E. (contributor); … - 2000 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001533130

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

Apparent scaling

Barndorff-Nielsen, Ole E.; Prause, Karsten - 1999

Persistent link: https://www.econbiz.de/10001456583

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001

Persistent link: https://www.econbiz.de/10001598164

Normal modified stable processes

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001

Persistent link: https://www.econbiz.de/10001598165