Narrow search
Showing 1 - 10 of 11
Cover Image
A continuous time GARCH process of higher order
Brockwell, Peter J. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002753436
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
Multipower variation and stochastic volatility
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002704097
Cover Image
A central limit theorem for realised power and bipower variations of continuous semimartingales
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2004
Persistent link: https://www.econbiz.de/10002704142
Cover Image
A central limit theorem for realised power and bipower variations of continuous semimartingales
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002364025
Cover Image
Multipower variation and stochastic volatility
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002459038
Cover Image
Normal modified stable processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001
Persistent link: https://www.econbiz.de/10001598165
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
Limit theorems for multipower variation in the presence of jumps
Barndorff-Nielsen, Ole E. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003178720