Narrow search
Showing 1 - 10 of 14
Cover Image
Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes...
Persistent link: https://www.econbiz.de/10002719797
Cover Image
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Levy-processes
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002721767
Cover Image
Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2005
Persistent link: https://www.econbiz.de/10002689302
Cover Image
Limit theorems for multipower variation in the presence of jumps
Barndorff-Nielsen, Ole E. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002689309
Cover Image
Normal modified stable processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001
Persistent link: https://www.econbiz.de/10001598165
Cover Image
Discrete-valued Lévy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, … - 2010
Persistent link: https://www.econbiz.de/10003981985
Cover Image
Discrete-valued Lévy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, … - 2010
Persistent link: https://www.econbiz.de/10003981997
Cover Image
Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581672
Cover Image
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
Cover Image
Variation, jumps, market frictions and high frequency data in financial econometrics
Barndorff-Nielsen, Ole E. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003178754