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Some aspects of Levy copulas
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002725947
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A continuous time GARCH process of higher order
Brockwell, Peter J. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002753436
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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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Gamma kernels and BSS/LSS processes
Barndorff-Nielsen, Ole E. - 2016
Persistent link: https://www.econbiz.de/10011447823
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Power variation & stochastic volatility : a review and some new results
Barndorff-Nielsen, Ole E. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001759031
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Power and bipower variation with stochastic volatility and jumps
Barndorff-Nielsen, Ole E. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001759032
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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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Integrated OU processes
Barndorff-Nielsen, Ole E. (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001560040
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Modelling by Lévy processes for financial econometrics
Barndorff-Nielsen, Ole E.; Shepard, N. - 2000
Persistent link: https://www.econbiz.de/10001500135