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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

Continuous time approximations to GARCH and stochastic volatility models

Lindner, Alexander M. - In: Handbook of financial time series, (pp. 481-496). 2009

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Lévy Copulas: Dynamics and Transforms of Upsilon Type

BARNDORFF-NIELSEN, OLE E.; LINDNER, ALEXANDER M. - In: Scandinavian Journal of Statistics 34 (2007) 2, pp. 298-316

Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lévy measure. In order to describe the dependence structure of a multivariate Lévy measure, Tankov (2003) introduced Lévy copulas on <formula format="inline"><file name="sjos_527_mu1.gif" type="gif" /></formula>. (For an extension to <b><openface>R</openface>-super-<b>""m""</b></b>, see Kallsen & Tankov,...

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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

Limit theorems for bipower variation in financial econometrics

Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-719

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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

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

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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

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Realized kernels in practice : trades and quotes

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: The econometrics journal 12 (2009) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10003948806

Variation, jumps and high-frequency data in financial econometrics

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2007

Persistent link: https://www.econbiz.de/10003691562