scientific article; zbMATH DE number 5198657

zbMath1121.62018MaRDI QIDQ5309198

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 9 October 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

Realized range-based estimation of integrated variance ⋮ A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects ⋮ Econometric analysis of high frequency data ⋮ Modeling tick-by-tick realized correlations ⋮ Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Some recent developments in stochastic volatility modelling ⋮ Incorporating realized quarticity into a realized stochastic volatility model ⋮ Box-Cox transforms for realized volatility ⋮ Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations ⋮ A reduced form framework for modeling volatility of speculative prices based on realized variation measures ⋮ Edgeworth expansions for realized volatility and related estimators ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Smile from the past: a general option pricing framework with multiple volatility and leverage components

This page was built for publication: