Modelling and measuring volatility

Neil Shephard and Ole Barndorff-Nielsen

No 2008--FE-31, Economics Series Working Papers from University of Oxford, Department of Economics

Keywords: Levy Process; Realised Volatility; Realised Kernel; Stochastic Volatility (search for similar items in EconPapers)
JEL-codes: C01 C14 C32 (search for similar items in EconPapers)
Date: 2008-11-01
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Working Paper: Modelling and measuring volatility (2008)
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