Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models [Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial... by Nielsen, O, Shephard, N

Power and Bipower Variation with Stochastic Volatility and Jumps. by Barndorff-Nielsen, O, Shephard, N

Estimating quadratic variation using realized variance by Barndorff-Nielsen, O, Shephard, N

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics by Shephard, N, Barndorff-Nielsen, O

Higher order variation and stochastic volatility models. by Barndorff-Nielsen, O, Shephard, N

How accurate is the asymptotic approximation to the distribution of realised volatility? by Barndorff-Nielsen, O, Shephard, N

Power and bipower variation with stochastic volatility and jumps. by Barndorff-Nielsen, O, Shephard, N

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. by Barndorff-Nielsen, O, Shephard, N

Power variation and time change by Shephard, N, Barndorff-Nielsen, O

Realised power variation and stochastic volatility models by Barndorff-Nielsen, O, Shephard, N

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics by Barndorff-Nielsen, O, Shephard, N

Estimating quadratic variation using realised volatility. by Barndorff-Nielsen, O, Shephard, N

Econometrics of testing for jumps in financial economics using bipower variation. by Barndorff-Nielsen, O, Shephard, N

Normal modified stable processes by Shephard, N, Barndorff-Nielsen, O

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes by Barndorff-Nielsen, O, Shephard, N

Aggregation and Model Construction for Volatility Models. by Barndorff-Nielsen, O, Shephard, N

Basics of Levy processes by Shephard, N, Barndorff-Nielsen, O

Modelling and measuring volatility. by Barndorff-Nielsen, O, Shephard, N

Modelling by Levy Processes for Financial Econometrics. by Barndorff-Nielsen, O, Shephard, N

Other Authors: “…Barndorff-Nielsen, O…”

Estimating Quadratic Variation Using Realized Variance. by Barndorff-Nielsen, O, Shephard, N