Non-Gaussian OU based models and some of their uses in financial economics

By Ole E. Barndorff-Nielsen, N. Shephard. 2000

187 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/99beed94be16a021746d6c05a2b561b9ea0d2376

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Citations in the corpus

Apparent scaling (2001, background): “Developments of the models, that incorporate further stylized features—in particular the volatility clustering and the quasi long range dependence—are considered in Barndorff-Nielsen (1998b), Barndorff-Nielsen and Shephard (1999) (see also Nicolato and Prause 1999).”
Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements (2005, unknown): “26; see also Barndorff-Nielsen and Shephard (2004b). The key to modelling realised volatility is the set of results in BarndorffNielsen and Shephard (2001, Section 2.”
Realized volatility forecasting and market microstructure noise (2011, methodology): “(4.26) We do not use the bandwidth selection procedure of Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) in our benchmark kernel RV estimator but fix L = h/h− 1.”
The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999, unknown): “An extension of this result to Ornstein-Uhlenbeck type models incorporating leverage effects (Barndorff-Nielsen and Shephard 1999) is not possible with the same argument, since the Brownian motion W and the instantaneous volatility σ are no longer independent.”
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001, unknown): “where , ,a nd are defined as in (12), ( 10 ), and (11).”
Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures (2006, methodology): “Realized volatility has been introduced concurrently by Andersen, Bollerslev, Diebold and Labys (2001, 2003) and by Barndorff-Nielsen and Shephard (2001, 2002); the relevant limit theory and extensions to the multi-dimensional case are analysed by Jacod (1994), Jacod and Protter (1998), and…”
A theoretical comparison between integrated and realized volatility (2002, unknown): “Note that the formula established when there is neither leverage e ect nor drift coincides with one of Barndor -Nielsen and Shephard (2001b). Moreover, we already pointed out in section”
ARMA representation of integrated and realized variances (2003, methodology): “This approach is the same as that of Barndorff-Nielsen and Shephard (2002a) given that mt−1[RV] is the analytical steady state of the Kalman filter. We leave for future research the use of this estimation method, which is clearly simpler than the methods of Barndorff-Nielsen and Shephard (2002a) and”