Narrow search
Showing 1 - 10 of 60
Cover Image
Some aspects of Levy copulas
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002725947
Cover Image
A continuous time GARCH process of higher order
Brockwell, Peter J. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002753436
Cover Image
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
Cover Image
Modelling by Lévy processes for financial econometrics
Barndorff-Nielsen, Ole E.; Shepard, N. - 2000
Persistent link: https://www.econbiz.de/10001500135
Cover Image
Feller processes of Normal Inverse Gaussian type
Barndorff-Nielsen, Ole E. (contributor);  … - 2000 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543241
Cover Image
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
Cover Image
Normal modified stable processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001
Persistent link: https://www.econbiz.de/10001598165
Cover Image
Estimating quadratic variation using realised variance
Barndorff-Nielsen, Ole E. (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001686821
Cover Image
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
Cover Image
A feasible central limit theory for realised volatility under leverage
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984062