Estimation in Barndorff Nielsen- Shephard Ornstein–Uhlenbeck Stochastic Volatility Models

Author:

Bishwal Jaya P. N.ORCID

Publisher

Springer International Publishing

Reference44 articles.

1. Barndorff-Nielsen, O.E. and Schmiegel, J. (2009): Brownian semistationary processes and volatility/intermittency, Radon Series Comp. Appl. Math. 8, 1–26.

2. Barndorff-Nielsen, O.E. and Shephard, N. (2002): Normal modified stable processes, Theory of Probability and Mathematical Statistics, 65,7–20.

3. Barndorff-Nielsen, O.E. and Shephard, N. (2001): Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics (with discussion), Journal of the Royal Statistical Society, Series B, 63, 167–241.

4. Barndorff-Nielsen, O.E. and Shephard, N. (2002a): Econometric analysis of realized volatility and its use in estimating stochastic volatility models, J. Royal. Statist. Society, Series B, 64, 253–280.

5. Barndorff-Nielsen, O.E. and Shephard, N. (2002b): How accurate is the asymtotic approximation to the distribution of realised variance? In: Identification and Inference for Econometric Models (Festschrift for Thomas J. Rothenberg) , Eds. D.W.F. Andrews, J.L. Powell, P.A. Ruud, J.H. Stock, Cambridge University Press.

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