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Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001834989

Estimating quadratic variation using realized variance

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of applied econometrics 17 (2002) 5, pp. 457-477

Persistent link: https://www.econbiz.de/10001709311

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984063

Regular and modified kernel-based estimators of integrated variance : the case with independent noise

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002491800

Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001838599

Regular and modified kernel-based estimator of integrated variance : the case with independent noise

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004

Persistent link: https://www.econbiz.de/10002704173

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; … - 2010

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...

Persistent link: https://www.econbiz.de/10014216875

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

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

How accurate is the asymptotic approximation to the distribution of realised variance?

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Identification and inference for econometric models : …, (pp. 306-331). 2005

Persistent link: https://www.econbiz.de/10003352563