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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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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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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003341258
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003334801
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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
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Measuring downside risk : realised semivariance
Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, … - 2008
Persistent link: https://www.econbiz.de/10003807090
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Measuring downside risk : realised semivariance
Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, … - 2008
Persistent link: https://www.econbiz.de/10003807420