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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

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

Power variation & stochastic volatility : a review and some new results

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

Persistent link: https://www.econbiz.de/10001759031

Power and bipower variation with stochastic volatility and jumps

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

Persistent link: https://www.econbiz.de/10001759032

A feasible central limit theory for realised volatility under leverage

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

Persistent link: https://www.econbiz.de/10001923849

A feasible central limit theory for realised volatility under leverage

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

Persistent link: https://www.econbiz.de/10001984062

Power and bipower variation with stochastic volatility and jumps : discussion

Andersen, Torben; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 37-48

Persistent link: https://www.econbiz.de/10002575826

Multipower variation and stochastic volatility

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

Persistent link: https://www.econbiz.de/10002459038

Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes

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

Persistent link: https://www.econbiz.de/10002491746

Power and bipower variation with stochastic volatility and jumps

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10002214180