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Approximate interval probabilities
Barndorff-Nielsen, Ole E. - In: Journal of the Royal Statistical Society 52 (1990) 3, pp. 485-496
Persistent link: https://www.econbiz.de/10001095381
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Processes of normal inverse Gaussian type
Barndorff-Nielsen, Ole E. - In: Finance and stochastics 2 (1998) 1, pp. 41-68
Persistent link: https://www.econbiz.de/10001230156
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Gamma kernels and BSS/LSS processes
Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016
This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.
Persistent link: https://www.econbiz.de/10011800335
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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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Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002106417
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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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Estimating quadratic variation using realized variance
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - In: Journal of applied econometrics 17 (2002) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001709311
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Realised power variation and stochastic models
Barndorff-Nielsen, Ole E. (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607775