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Modelling and measuring volatility

Publication status:: Published

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APA Style

Shephard, N., & Barndorff-Nielsen, O. (2008). Modelling and measuring volatility. University of Oxford.

MLA Style

Shephard, N., and O. Barndorff-Nielsen. Modelling and Measuring Volatility. University of Oxford, 2008.

Chicago Style

Shephard, N, and O Barndorff-Nielsen. 2008. “Modelling and Measuring Volatility.” Department of Economics Discussion Paper Series. University of Oxford.
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Authors

+ Shephard, N More by this author

Role:: Author

+ Barndorff-Nielsen, O More by this author

Role:: Author

Publisher:: University of Oxford
Series:: Department of Economics Discussion Paper Series
Publication date:: 2008-11-01
Paper number:: 2008--FE-31

Keywords:: Levy process

realised volatility

realised kernel

stochastic volatility
Pubs id:: 1144018
Local pid:: pubs:1144018
Deposit date:: 2020-12-15

Terms of use

Copyright date:: 2008
Rights statement:: Copyright 2008 The Author(s)

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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