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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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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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Modelling and measuring volatility
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2008
Persistent link: https://www.econbiz.de/10003807449
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Multipower variation for Brownian semistationary processes
Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009
Persistent link: https://www.econbiz.de/10003849554
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
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Variation, jumps and high-frequency data in financial econometrics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2007
Persistent link: https://www.econbiz.de/10003691562
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Stochastic volatility of volatility and variance risk premia
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10009708931
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The multivariate supOU stochastic volatility model
Barndorff-Nielsen, Ole E.; Stelzer, Robert - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 275-296
Persistent link: https://www.econbiz.de/10009721748
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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