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Modelling and measuring volatility

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  • Ole E. Barndorff-Nielsen

    ()

  • Neil Shephard

    ()

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Bibliographic Info

Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2008fe31.

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Length: 6
Date of creation: 2008
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Handle: RePEc:sbs:wpsefe:2008fe31

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Web page: http://www.finance.ox.ac.uk
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Related research

Keywords: Levy process; realised volatility; realised kernel; stochastic volatility;

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