1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.ST2008
Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models
Friedrich Hubalek, Petra Posedel
We provide a simple explicit estimator for discretely observed Barndorff-Nielsen and Shephard models, prove rigorously consistency and asymptotic normality based on the single assu…
q-fin.CP2008
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
Friedrich Hubalek, Carlo Sgarra
We compute and discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class…
q-fin.ST2008★ 1 cited
Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
Friedrich Hubalek, Petra Posedel
We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensi…