Power variation and stochastic volatility: a review and some new results (Q4822456): Difference between revisions

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-Ole Eiler Barndorff-Nielsen
@@ Property / author: Ole Eiler Barndorff-Nielsen / rank @@
-Normal rank
@@ Property / author @@
-Svend-Erik Graversen
@@ Property / author: Svend-Erik Graversen / rank @@
-Normal rank
@@ Property / author @@
+Ole Eiler Barndorff-Nielsen
@@ Property / author: Ole Eiler Barndorff-Nielsen / rank @@
+Normal rank
@@ Property / author @@
+Svend-Erik Graversen
@@ Property / author: Svend-Erik Graversen / rank @@
+Normal rank
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+MaRDI publication profile
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+W2079725639
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@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
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+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Realized power variation and stochastic volatility model
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+Realized power variation and stochastic volatility models
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+The sample autocorrelations of heavy-tailed processes with applications to ARCH
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+Q3911791
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q3374309
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
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+Q4220653
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@@ Property / cites work @@
+Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
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@@ Property / cites work @@
+Estimation of integrated volatility in stochastic volatility models
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@@ links / mardi / name / links / mardi / name @@
+Publication:4822456