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The estimation of the Barndorff‐Nielsen and Shephard model from daily data based on measures of trading intensity |
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| Authors: | Carl Lindberg |
| Affiliation: | Department of Mathematical Sciences, Chalmers University of Technology and G?teborg University, Sweden |
| Abstract: | |
| Keywords: | Barndorff– Nielsen and Shephard model generalized hyperbolic distribution normal inverse Gaussian distribution number of trades stochastic volatility trading intensity |