1 citations · 1 across the 2 of their papers we have counts for
2 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.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…