-
1
-
-
0035402387
-
The distribution of realized stock return volatility
-
Andersen TG, Bollerslev T, Diebold FX, Ebens H (2001) The distribution of realized stock return volatility. J. Fin. Econometrics, 61:43-76.
-
(2001)
J. Fin. Econometrics
, vol.61
, pp. 43-76
-
-
Andersen, T.G.1
Bollerslev, T.2
Diebold, F.X.3
Ebens, H.4
-
2
-
-
84895224090
-
Continuoustime Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
-
Andersen TG, Bollerslev T, Frederiksen PH, Nielsen M. (2006) Continuoustime models, realized volatilities, and testable distributional implications for daily stock returns. Unpublished paper.
-
(2006)
Unpublished paper
-
-
Andersen, T.G.1
Bollerslev, T.2
Frederiksen, P.H.3
Nielsen, M.4
-
3
-
-
0035637532
-
Approximation of small jumps of Levy processes with a view towards simulation
-
Asmussen S, Rosinski J (2001) Approximation of small jumps of Levy processes with a view towards simulation. J. Appl. Probab., 38:482-493.
-
(2001)
J. Appl. Probab.
, vol.38
, pp. 482-493
-
-
Asmussen, S.1
Rosinski, J.2
-
4
-
-
0017468220
-
Exponentially decreasing distributions for the logarithm of particle size
-
Barndorff-Nielsen OE (1977) Exponentially decreasing distributions for the logarithm of particle size. Proc. R. Soc. London A 353:401-419.
-
(1977)
Proc. R. Soc. London A
, vol.353
, pp. 401-419
-
-
Barndorff-Nielsen, O.E.1
-
6
-
-
0031524138
-
Normal inverse Gaussian distributions and stochastic volatility modelling
-
Barndorff-Nielsen OE (1997) Normal inverse Gaussian distributions and stochastic volatility modelling. Scand. J. Statist., 24:1-14.
-
(1997)
Scand. J. Statist.
, vol.24
, pp. 1-14
-
-
Barndorff-Nielsen, O.E.1
-
7
-
-
0002350908
-
Probability and statistics: self-decomposability, finance and turbulence
-
Acccardi L, Heyde CC (Eds Proceedings of a Symposium held 2-5 October 1995 at Columbia University. Springer- Verlag, New York
-
Barndorff-Nielsen OE (1998) Probability and statistics: self-decomposability, finance and turbulence. In: Acccardi L, Heyde CC (Eds) Probability Towards 2000, 47-57. Proceedings of a Symposium held 2-5 October 1995 at Columbia University. Springer-Verlag, New York
-
(1998)
Probability Towards 2000, 47-57
-
-
Barndorff-Nielsen, O.E.1
-
9
-
-
0035649721
-
Superposition of Ornstein-Uhlenbeck type processes
-
Barndorff-Nielsen OE (1998) Superposition of Ornstein-Uhlenbeck type processes. Theory Prob. Its Appl., 45:175-194.
-
(1998)
Theory Prob. Its Appl.
, vol.45
, pp. 175-194
-
-
Barndorff-Nielsen, O.E.1
-
10
-
-
10044227444
-
A parsimonious and universal description of turbulent velocity increments
-
Barndorff-Nielsen OE, Blild P, Schmiegel J (2004) A parsimonious and universal description of turbulent velocity increments. Eur. Phys. J., B 41:345-363.
-
(2004)
Eur. Phys. J.
, vol.B 41
, pp. 345-363
-
-
Barndorff-Nielsen, O.E.1
Blild, P.2
Schmiegel, J.3
-
11
-
-
33745660397
-
A central limit theorem for realised power and bipower variations of continuous semimartingales
-
Kabanov Yu, Liptser R, Stoyanov J (Eds. Festschrift in Honour of A.N. Shiryaev. Springer, Heidelberg
-
Barndorff-Nielsen OE, Graversen SE, Jacod J, Podolskij M, Shephard N (2006) A central limit theorem for realised power and bipower variations of continuous semimartingales. In: Kabanov Yu, Liptser R, Stoyanov J (Eds) From Stochastic Calculus to Mathematical Finance 33-68. Festschrift in Honour of A.N. Shiryaev. Springer, Heidelberg
-
(2006)
From Stochastic Calculus to Mathematical Finance 33-68
-
-
Barndorff-Nielsen, O.E.1
Graversen, S.E.2
Jacod, J.3
Podolskij, M.4
Shephard, N.5
-
12
-
-
33646525285
-
Limit theorems for bipower variation in financial econometrics
-
Barndorff-Nielsen OE, Graversen SE, Jacod J, Shephard N (2006) Limit theorems for bipower variation in financial econometrics. Econometric Theory, 22:677-719.
-
(2006)
Econometric Theory
, vol.22
, pp. 677-719
-
-
Barndorff-Nielsen, O.E.1
Graversen, S.E.2
Jacod, J.3
Shephard, N.4
-
15
-
-
3042776069
-
Levy-based tempo-spatial modelling; with applications to turbulence
-
Barndorff-Nielsen OE, Schmiegel J (2004) Levy-based tempo-spatial modelling; with applications to turbulence. Uspekhi Mat. Nauk., 59:65-91.
-
(2004)
Uspekhi Mat. Nauk.
, vol.59
, pp. 65-91
-
-
Barndorff-Nielsen, O.E.1
Schmiegel, J.2
-
22
-
-
0000179871
-
Modelling by Levy processes for financial econometrics
-
Barndorff-Nielsen OE, Mikosch T, Resnick S (Eds. Birkhauser, Boston
-
Barndorff-Nielsen OE, Shephard N (2001) Modelling by Levy processes for financial econometrics. In: Barndorff-Nielsen OE, Mikosch T, Resnick S (Eds) Levy Processes - Theory and Applications, 283-318. Birkhauser, Boston
-
(2001)
Levy Processes - Theory and Applications
, pp. 283-318
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
23
-
-
0035648379
-
Non-gaussian ornstein-uhlenbeckbased models and some of their uses in financial economics (with discussion)
-
Barndorff-Nielsen OE, Shephard N (2001) Non-Gaussian Ornstein- Uhlenbeckbased models and some of their uses in financial economics (with Discussion). J. R. Statist. Soc., B 63:167-241.
-
(2001)
J. R. Statist. Soc.
, vol.B 63
, pp. 167-241
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
24
-
-
0038178133
-
Integrated OU processes and non-Gaussian OU-based stochastic volatility
-
Barndorff-Nielsen OE, Shephard N (2002) Integrated OU processes and non-Gaussian OU-based stochastic volatility. Scand. J. Statist., 30:277-295.
-
(2002)
Scand. J. Statist.
, vol.30
, pp. 277-295
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
25
-
-
19644380659
-
Power and bipower variation with stochastic volatility and jumps (with Discussion)
-
Barndorff-Nielsen OE, Shephard N (2004) Power and bipower variation with stochastic volatility and jumps (with Discussion). J. Fin. Econometrics, 2:1-48.
-
(2004)
J. Fin. Econometrics
, vol.2
, pp. 1-48
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
29
-
-
22244446356
-
Velocity probability density functions of high Reynolds number turbulence
-
Castaing B, Gagne Y, Hopfinger EJ (1990) Velocity probability density functions of high Reynolds number turbulence. Physica, D 46:177-200.
-
(1990)
Physica, D
, vol.46
, pp. 177-200
-
-
Castaing, B.1
Gagne, Y.2
Hopfinger, E.J.3
-
31
-
-
14544292859
-
Stochastic integration with respect to Volterra processes
-
Decreusefond L (2005) Stochastic integration with respect to Volterra processes. Ann. I. H. Poincare, PR41:123-149.
-
(2005)
Ann. I. H. Poincare, PR41
, pp. 123-149
-
-
Decreusefond, L.1
-
32
-
-
33645320236
-
Anticipative calculus with respect to filtered Poisson processes
-
Decreusefond L, Savy N (2006) Anticipative calculus with respect to filtered Poisson processes. Ann. I. H. Poincare, PR42:343-372.
-
(2006)
Ann. I. H. Poincare, PR42
, pp. 343-372
-
-
Decreusefond, L.1
Savy, N.2
-
33
-
-
0005787419
-
Application of generalized hyperbolic Levy motion to finance
-
Barndorff-Nielsen OE, Mikosch T, Resnick S (Eds. Birkhauser, Boston
-
Eberlein E (2000) Application of generalized hyperbolic Levy motion to finance. In: Barndorff-Nielsen OE, Mikosch T, Resnick S (Eds) Levy Processes - Theory and Applications, 319-336. Birkhauser, Boston
-
(2000)
Levy Processes - Theory and Applications
, pp. 319-336
-
-
Eberlein, E.1
-
34
-
-
0030258670
-
On the measurement of turbulence energy dissipation
-
Elsner JW, Elsner W (1996) On the measurement of turbulence energy dissipation. Meas. Sci. Technol., 7:1334-1348.
-
(1996)
Meas. Sci. Technol.
, vol.7
, pp. 1334-1348
-
-
Elsner, J.W.1
Elsner, W.2
-
36
-
-
0029949064
-
Turbulent cascades in foreign exchange markets
-
Ghashgaie S, Breymann W, Peinke J, Talkner P, Dodge Y (1996) Turbulent cascades in foreign exchange markets. Nature 381:767-770.
-
(1996)
Nature
, vol.381
, pp. 767-770
-
-
Ghashgaie, S.1
Breymann, W.2
Peinke, J.3
Talkner, P.4
Dodge, Y.5
-
37
-
-
0037401315
-
Approximating some Volterra type stochastic intergrals with applications to parameter estimation
-
Hult H (2003) Approximating some Volterra type stochastic intergrals with applications to parameter estimation. Stoch. Proc. Appl., 105:1-32.
-
(2003)
Stoch. Proc. Appl.
, vol.105
, pp. 1-32
-
-
Hult, H.1
-
38
-
-
0002385458
-
Dissipation of energy in locally isotropic turbulence
-
Kolmogorov AN (1941) Dissipation of energy in locally isotropic turbulence. Dokl. Akad. Nauk. SSSR, 32:16-18.
-
(1941)
Dokl. Akad. Nauk. SSSR
, vol.32
, pp. 16-18
-
-
Kolmogorov, A.N.1
-
39
-
-
84958440725
-
A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
-
Kolmogorov AN (1962) A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number. J. Fluid Mech, 13:82-85.
-
(1962)
J. Fluid Mech
, vol.13
, pp. 82-85
-
-
Kolmogorov, A.N.1
-
40
-
-
42349117589
-
Fractional Levy processes with an application to long memory moving average processes
-
Marquardt T (2006) Fractional Levy processes with an application to long memory moving average processes. Bernoulli, 12:1099-1126.
-
(2006)
Bernoulli
, vol.12
, pp. 1099-1126
-
-
Marquardt, T.1
-
42
-
-
0001714525
-
An elementary approach to a Girsanov formula and other analytic results on fractional Brownian motion
-
Norros I, Valkeila E, Virtamo J (1999) An elementary approach to a Girsanov formula and other analytic results on fractional Brownian motion. Bernoulli, 5:571-587.
-
(1999)
Bernoulli
, vol.5
, pp. 571-587
-
-
Norros, I.1
Valkeila, E.2
Virtamo, J.3
-
43
-
-
84956238589
-
Some specific features of atmospheric turbulence
-
Obukhov AM (1962) Some specific features of atmospheric turbulence. J. Fluid Mech., 13:77-81.
-
(1962)
J. Fluid Mech.
, vol.13
, pp. 77-81
-
-
Obukhov, A.M.1
-
44
-
-
3242802797
-
Anomalous statistics in turbulence, financial markets and other complex systems
-
Peinke J, Bottcher F, Barth S (2004) Anomalous statistics in turbulence, financial markets and other complex systems. Ann. Phys. (Leipzig), 13:450-460.
-
(2004)
Ann. Phys. (Leipzig)
, vol.13
, pp. 450-460
-
-
Peinke, J.1
Bottcher, F.2
Barth, S.3
-
47
-
-
0001464668
-
The normal inverse Gaussian Levy process: simulation and approximation
-
Rydberg TH (1997) The normal inverse Gaussian Levy process: simulation and approximation. Comm. Statist.: Stochastic Models, 13:887-910.
-
(1997)
Comm. Statist.: Stochastic Models
, vol.13
, pp. 887-910
-
-
Rydberg, T.H.1
-
48
-
-
0033411027
-
Generalized hyperbolic diffusions with applications towards finance
-
Rydberg TH (1999) Generalized hyperbolic diffusions with applications towards finance. Math. Finance, 9:183-201.
-
(1999)
Math. Finance
, vol.9
, pp. 183-201
-
-
Rydberg, T.H.1
-
52
-
-
0026138280
-
The spatial structure and statistical properties of homogeneous turbulence
-
Vincent A, Meneguzzi M (1991) The spatial structure and statistical properties of homogeneous turbulence. J. Fluid Mech., 225:1-25.
-
(1991)
J. Fluid Mech.
, vol.225
, pp. 1-25
-
-
Vincent, A.1
Meneguzzi, M.2
|