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Measuring and forecasting financial variability using realised variance
Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil G. - In: State space and unobserved component models : theory …, (pp. 205-235). 2004
Persistent link: https://www.econbiz.de/10009719924
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Econometric analysis of realized covariation : high frequency based covariance, regression, and correlation in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 3, pp. 885-925
Persistent link: https://www.econbiz.de/10002095843
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Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001
Persistent link: https://www.econbiz.de/10001598164
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Estimating quadratic variation using realised variance
Barndorff-Nielsen, Ole E. (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001686821
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Econometric analysis of realised covariation : high frequency covariance, regression and correlation in financial economics
Barndorff-Nielsen, Ole E. (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001686826
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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