Modelling and measuring volatility.

Modelling and measuring volatility.

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Manylion Llyfryddiaeth
Prif Awduron:	Barndorff-Nielsen, O, Shephard, N
Fformat:	Working paper
Iaith:	English
Cyhoeddwyd:	Oxford-Man Institute of Quantitative Finance 2008

Eitemau Tebyg

Modelling and measuring volatility
gan: Shephard, N, et al.
Cyhoeddwyd: (2008)

Aggregation and Model Construction for Volatility Models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (1998)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
gan: Shephard, N, et al.
Cyhoeddwyd: (2001)

Realised power variation and stochastic volatility models
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Higher order variation and stochastic volatility models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Realised power variation and stochastic volatility models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Multipower Variation and Stochastic Volatility.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
gan: Shephard, N, et al.
Cyhoeddwyd: (2003)

Some recent developments in stochastic volatility modelling
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Some recent developments in stochastic volatility modelling.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Estimating quadratic variation using realised volatility.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Power and bipower variation with stochastic volatility and jumps.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Power and bipower variation with stochastic volatility and jumps
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

How accurate is the asymptotic approximation to the distribution of realised volatility?
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Power variation and stochastic volatility: a review and some new results
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Power variation & stochastic volatility: a review and some new results.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Measuring downside risk-realised semivariance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Measuring down-side risk-realised semivariance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Measuring and forecasting financial variability using realised variance with and without a model.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Modelling by Levy Processes for Financial Econometrics.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
gan: Shephard, N, et al.
Cyhoeddwyd: (2001)

Measuring and forecasting financial variability using realised variance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Power variation and time change
gan: Shephard, N, et al.
Cyhoeddwyd: (2006)

Estimating quadratic variation using realized variance
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Estimating Quadratic Variation Using Realized Variance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2005)

Power Variation and Time Change.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Normal Modified Stable Processes.
gan: Shephard, N, et al.
Cyhoeddwyd: (2001)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Realized Variance and Market Microstructure Noise: Comment.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Power variation and time change
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Variation, jumps, market frictions and high frequency data in financial econometrics.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2005)