Modelling and measuring volatility.

Modelling and measuring volatility.

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Bibliografische gegevens
Hoofdauteurs:	Barndorff-Nielsen, O, Shephard, N
Formaat:	Working paper
Taal:	English
Gepubliceerd in:	Oxford-Man Institute of Quantitative Finance 2008

Gelijkaardige items

Modelling and measuring volatility
door: Shephard, N, et al.
Gepubliceerd in: (2008)

Aggregation and Model Construction for Volatility Models.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (1998)

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

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

Realised power variation and stochastic volatility models
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2003)

Higher order variation and stochastic volatility models.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

Realised power variation and stochastic volatility models.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

Multipower Variation and Stochastic Volatility.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2004)

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

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

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

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

Estimating quadratic variation using realised volatility.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

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

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

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

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

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

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

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

Measuring downside risk-realised semivariance.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2008)

Measuring down-side risk-realised semivariance.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2008)

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

Modelling by Levy Processes for Financial Econometrics.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2001)

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

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

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

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

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

Power variation and time change
door: Shephard, N, et al.
Gepubliceerd in: (2006)

Estimating quadratic variation using realized variance
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2002)

Estimating Quadratic Variation Using Realized Variance.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2002)

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

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

Power Variation and Time Change.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2002)

Normal Modified Stable Processes.
door: Shephard, N, et al.
Gepubliceerd in: (2001)

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

Realized Variance and Market Microstructure Noise: Comment.
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2006)

Power variation and time change
door: Barndorff-Nielsen, O, et al.
Gepubliceerd in: (2006)

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