scientific article; zbMATH DE number 5299701

MaRDI QIDQ3511640zbMATH OpenFDO

Authors Ole E. Barndorff-Nielsen, Neil Shephard

Publication date 11 July 2008

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Statistical methods; risk measures (91G70)

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Cited in

(11)

• Realized power variation and stochastic volatility model
• Estimating the p-variation index of a sample function: an application to financial data set
• Variance and volatility swaps valuations with the stochastic liquidity risk
• Power and multipower variation: inference for high frequency data
• Multivariate Stochastic Volatility
• Heterogenous market hypothesis evaluation using multipower variation volatility
• Power variation and stochastic volatility: a review and some new results
• Stochastic volatility models for ordinal-valued time series with application to finance
• Variation, jumps and high-frequency data in financial econometrics
• Analysis of the efficiency of realized bipower variation and realized multipower variation
• Ole Eiler Barndorff-Nielsen and financial econometrics

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