Estimation of Integrated Volatility in Stochastic Volatility Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 4(1), pages 1-30.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-17 (All new papers)
- NEP-ECM-2003-08-17 (Econometrics)
- NEP-ETS-2003-08-17 (Econometric Time Series)
- NEP-RMG-2003-08-17 (Risk Management)
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