Modelling and measuring volatility

Ole Barndorff-Nielsen and Neil Shephard ()

OFRC Working Papers Series from Oxford Financial Research Centre

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)
Pages: 6
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ore
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Working Paper: Modelling and measuring volatility (2008)
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