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Some aspects of Levy copulas
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002725947
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Stationary, mixing, distributional properties and moments of GARCH (p,q)-processes
Lindner, Alexander M. - In: Handbook of financial time series, (pp. 43-69). 2009
Persistent link: https://www.econbiz.de/10003833778
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Continuous time approximations to GARCH and stochastic volatility models
Lindner, Alexander M. - In: Handbook of financial time series, (pp. 481-496). 2009
Persistent link: https://www.econbiz.de/10003834175
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A continuous time GARCH process of higher order
Brockwell, Peter J. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002753436
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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
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Information and exponential families : in statistical theory
Barndorff-Nielsen, Ole E. - 1978
Persistent link: https://www.econbiz.de/10000374801
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Time change, volatility, and turbulence
Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen - In: Mathematical control theory and finance, (pp. 29-53). 2008
Persistent link: https://www.econbiz.de/10003755554
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Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-719
Persistent link: https://www.econbiz.de/10003351877
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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
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Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10003313338