Per Skaarup Frederiksen

Bias-Reduced Estimation of Long Memory Stochastic Volatility

M. Nielsen, Per Skaarup Frederiksen, 2008 .

Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes

F. Nielsen, Per Skaarup Frederiksen, 2008 .

On the Generalized Brownian Motion and its Applications in Finance

Esben Høg, Per Skaarup Frederiksen, Daniel Schiemert, 2008 .

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

T. Bollerslev, T. Andersen, M. Nielsen, 2007 .

Local Polynomial Whittle Estimation of Perturbed Fractional Processes

F. Nielsen, M. Nielsen, Per Skaarup Frederiksen, 2008 .

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

M. Nielsen, Per Skaarup Frederiksen, 2011 .