Author:
Barndorff–Nielsen Ole E.,Graversen Svend Erik,Jacod Jean,Podolskij Mark,Shephard Neil
Publisher
Springer Berlin Heidelberg
Reference11 articles.
1. Andersen T.G., Bollerslev T., Diebold F.X. and Labys P.: Modeling and Fore-casting realized Volatility. Econometrica, 71, 579-625 (2003)
2. Andersen T.G., Bollerslev T. and Diebold F.X.: Parametric and nonparametric measurement of volatility, in “Handbook of Financial Econometrics”, edited by Ait-Sahalia Y. and Hansen L.P., North Holland, Amsterdam, Forthcoming (2004)
3. Barndorff-Nielsen O.E. and Shephard N.: Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B, 64, 253-280 (2002)
4. Barndorff-Nielsen O.E. and Shephard N.: Econometrics of testing for jumps in financial economics using bipower variation. Unpublished discussion paper: Nuffield College, Oxford (2003)
5. Barndorff-Nielsen O.E. and Shephard N.: Power and bipower variation with stochastic volatility and jumps (with discussion). Journal of Financial Econo-metrics, 2, 1-48 (2004)
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