Apparent scaling

By Ole E. Barndorff-Nielsen, K. Prause. 2001

46 citations recorded by the source corpus.

Subfields: Economics and Econometrics

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Elisa Nicolato
2. E. Venardos
3. Kenji Fukumizu
4. Yu Nishiyama
5. Antonis Papapantoleon
6. Ole E. Barndorff-Nielsen
7. N. Shephard
8. Fred Espen Benth

Citations in the corpus

• Characteristic Kernels and Infinitely Divisible Distributions (2014, background): “The GH, NIG, and VG distributions are well-known in mathematical finance and risk management (Schoutens, 2003; Cont and Tankov, 2004; Barndorff-Nielsen and Halgreen, 1990; Madan et al., 1998; Barndorff-Nielsen, 1998; Barndorff-Nielsen and Prause, 2001).”
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (2003, background): “This class of distributions has been shown to provide very good fit to log returns of stock prices (see, e.g., Rydberg 1999 and Barndorff-Nielsen and Prause 2001).”
• An introduction to Lévy processes with applications in finance (2008, background): “Other interesting and inspiring sources are the papers by Eberlein (2001), Cont (2001), Barndorff-Nielsen and Prause (2001), Carr et al. (2002), Eberlein and Özkan(2003) and Eberlein (2007).”