Department of Economics and Business Economics

Assessing Gamma kernels and BSS/LSS processes

Research output: Working paperResearch

Standard

Assessing Gamma kernels and BSS/LSS processes. / Barndorff-Nielsen, Ole E.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

Research output: Working paperResearch

Harvard

Barndorff-Nielsen, OE 2016 'Assessing Gamma kernels and BSS/LSS processes' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Barndorff-Nielsen, O. E. (2016). Assessing Gamma kernels and BSS/LSS processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2016-09

CBE

Barndorff-Nielsen OE. 2016. Assessing Gamma kernels and BSS/LSS processes. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Barndorff-Nielsen, Ole E. Assessing Gamma kernels and BSS/LSS processes. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2016-09). 2016., 15 p.

Vancouver

Barndorff-Nielsen OE. Assessing Gamma kernels and BSS/LSS processes. Aarhus: Institut for Økonomi, Aarhus Universitet. 2016 Apr 6.

Author

Barndorff-Nielsen, Ole E. / Assessing Gamma kernels and BSS/LSS processes. Aarhus : Institut for Økonomi, Aarhus Universitet, 2016. (CREATES Research Papers; No. 2016-09).

Bibtex

@techreport{82905f2c615b41e09357c750d8e345a8,
title = "Assessing Gamma kernels and BSS/LSS processes",
abstract = "This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and L{\'e}vy semistationary processes. Applications to financial econometrics and the physics of turbulence arepointed out.",
keywords = "Ambit Stochastics; autocorrelation functions; Brownian semistationary processes; financial econometrics; fractional differentiation; identification; Levy semistationary processes; path properties; turbulence modelling; volatility/intermittency",
author = "Barndorff-Nielsen, {Ole E.}",
year = "2016",
month = apr,
day = "6",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2016-09",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Assessing Gamma kernels and BSS/LSS processes

AU - Barndorff-Nielsen, Ole E.

PY - 2016/4/6

Y1 - 2016/4/6

N2 - This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence arepointed out.

AB - This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence arepointed out.

KW - Ambit Stochastics; autocorrelation functions; Brownian semistationary processes; financial econometrics; fractional differentiation; identification; Levy semistationary processes; path properties; turbulence modelling; volatility/intermittency

M3 - Working paper

T3 - CREATES Research Papers

BT - Assessing Gamma kernels and BSS/LSS processes

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -