Ole E. Barndorff-Nielsen
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Research profile
author of:
- Power variation for Gaussian processes with stationary increments (RePEc:aah:create:2007-42)
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij - Bipower variation for Gaussian processes with stationary increments (RePEc:aah:create:2008-21)
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner - Measuring downside risk — realised semivariance (RePEc:aah:create:2008-42)
by Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:aah:create:2008-63)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Multipower Variation for Brownian Semistationary Processes (RePEc:aah:create:2009-21)
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij - Stochastic volatility of volatility in continuous time (RePEc:aah:create:2009-25)
by Ole E. Barndorff-Nielsen & Almut E. D. Veraart - The multivariate supOU stochastic volatility model (RePEc:aah:create:2009-42)
by Ole Eiler Barndorff-Nielsen & Robert Stelzer - Limit theorems for functionals of higher order differences of Brownian semi-stationary processes (RePEc:aah:create:2009-60)
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij - Ambit processes and stochastic partial differential equations (RePEc:aah:create:2010-17)
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - Modelling energy spot prices by Lévy semistationary processes (RePEc:aah:create:2010-18)
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - Modelling electricity forward markets by ambit fields (RePEc:aah:create:2010-41)
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - Integer-valued Lévy processes and low latency financial econometrics (RePEc:aah:create:2010-66)
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - Assessing Relative Volatility/Intermittency/Energy Dissipation (RePEc:aah:create:2013-15)
by Ole E. Barndorff-Nielsen & Mikko S. Pakkanen & Jürgen Schmiegel - Assessing Gamma kernels and BSS/LSS processes (RePEc:aah:create:2016-09)
by Ole E. Barndorff-Nielsen - Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes (RePEc:arx:papers:1307.6332)
by Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:179-181)
by Barndorff-Nielsen, Ole E. & Shephard, Neil - Random Graph Dynamics by Rick Durrett (RePEc:bla:istatr:v:75:y:2007:i:3:p:428-428)
by Ole E. Barndorff‐Nielsen - Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics (RePEc:bla:jorssb:v:63:y:2001:i:2:p:167-241)
by Ole E. Barndorff‐Nielsen & Neil Shephard - Econometric analysis of realized volatility and its use in estimating stochastic volatility models (RePEc:bla:jorssb:v:64:y:2002:i:2:p:253-280)
by Ole E. Barndorff‐Nielsen & Neil Shephard - On quantum statistical inference (RePEc:bla:jorssb:v:65:y:2003:i:4:p:775-804)
by Ole E. Barndorff‐Nielsen & Richard D. Gill & Peter E. Jupp - Tail Exactness of Multivariate Saddlepoint Approximations (RePEc:bla:scjsta:v:26:y:1999:i:2:p:253-264)
by O. E. Barndorff‐Nielsen & C. Kluppelberg - Exact Distributional Results for Random Resistance Trees (RePEc:bla:scjsta:v:27:y:2000:i:1:p:129-141)
by Ole E. Barndorff‐Nielsen & Tina Hviid Rydberg - Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (RePEc:bla:scjsta:v:30:y:2003:i:2:p:277-295)
by Ole E. Barndorff‐Nielsen & Neil Shephard - Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (RePEc:bla:scjsta:v:32:y:2005:i:4:p:617-637)
by Ole Eiler Barndorff‐Nielsen & Robert Stelzer - Lévy Copulas: Dynamics and Transforms of Upsilon Type (RePEc:bla:scjsta:v:34:y:2007:i:2:p:298-316)
by Ole E. Barndorff‐Nielsen & Alexander M. Lindner - Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (RePEc:bla:scjsta:v:41:y:2014:i:3:p:693-724)
by Ole E. Barndorff-Nielsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart - Limit Theorems For Bipower Variation In Financial Econometrics (RePEc:cup:etheor:v:22:y:2006:i:04:p:677-719_06)
by Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil - Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (RePEc:ecm:emetrp:v:72:y:2004:i:3:p:885-925)
by Ole E. Barndorff-Nielsen & Neil Shephard - Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (RePEc:ecm:emetrp:v:76:y:2008:i:6:p:1481-1536)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Realized kernels in practice: trades and quotes (RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c1-c32)
by O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard - Information quantities in non-classical settings (RePEc:eee:csdana:v:12:y:1991:i:2:p:143-158)
by Barndorff-Nielsen, O. E. & Sorensen, M. - Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes (RePEc:eee:econom:v:131:y:2006:i:1-2:p:217-252)
by Barndorff-Nielsen, Ole E. & Shephard, Neil - Subsampling realised kernels (RePEc:eee:econom:v:160:y:2011:i:1:p:204-219)
by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil - Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:eee:econom:v:162:y:2011:i:2:p:149-169)
by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil - The interplay between insurance, finance and control (RePEc:eee:insuma:v:22:y:1998:i:1:p:1-1)
by Asmussen, Soren & Barndorff-Nielsen, Ole. E. - Some parametric models on the simplex (RePEc:eee:jmvana:v:39:y:1991:i:1:p:106-116)
by Barndorff-Nielsen, O. E. & Jørgensen, B. - On the parametrization of autoregressive models by partial autocorrelations (RePEc:eee:jmvana:v:3:y:1973:i:4:p:408-419)
by Barndorff-Nielsen, O. & Schou, G. - Regularizing mappings of Lévy measures (RePEc:eee:spapps:v:116:y:2006:i:3:p:423-446)
by Barndorff-Nielsen, Ole E. & Thorbjørnsen, Steen - Limit theorems for multipower variation in the presence of jumps (RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806)
by Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias - Semigroups of Upsilon transformations (RePEc:eee:spapps:v:118:y:2008:i:12:p:2334-2343)
by Barndorff-Nielsen, Ole E. & Maejima, Makoto - Power variation for Gaussian processes with stationary increments (RePEc:eee:spapps:v:119:y:2009:i:6:p:1845-1865)
by Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark - On stochastic integration for volatility modulated Lévy-driven Volterra processes (RePEc:eee:spapps:v:124:y:2014:i:1:p:812-847)
by Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D. - First hitting time models for the generalized inverse Gaussian distribution (RePEc:eee:spapps:v:7:y:1978:i:1:p:49-54)
by Barndorff-Nielsen, O. & Blæsild, P. & Halgreen, C. - Stationary and self-similar processes driven by Lévy processes (RePEc:eee:spapps:v:84:y:1999:i:2:p:357-369)
by Barndorff-Nielsen, Ole E. & Pérez-Abreu, Victor - Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:hal:journl:hal-00815564)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Integer-valued trawl processes: A class of stationary infinitely divisible processes (RePEc:hrv:faseco:34650304)
by Barndorff-Nielsen, Ole E. & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D. - Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (RePEc:hst:ghsdps:gd08-037)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Estimating quadratic variation using realized variance (RePEc:jae:japmet:v:17:y:2002:i:5:p:457-477)
by Ole E. Barndorff-Nielsen & Neil Shephard - Integrated OU Processes (RePEc:nuf:econwp:0101)
by Ole E. Barndorff-Nielsen & Neil Shephard - Econometric analysis of realised volatility and its use in estimating stochastic volatility models (RePEc:nuf:econwp:0104)
by Ole E. Barndorff-Nielsen & Neil Shephard - Normal modified stable processes (RePEc:nuf:econwp:0106)
by Ole E. Barndorff-Nielsen & Neil Shephard - Higher order variation and stochastic volatility models (RePEc:nuf:econwp:0108)
by Ole E. Barndorff-Nielsen & Neil Shephard - How accurate is the asymptotic approximation to the distribution of realised volatility? (RePEc:nuf:econwp:0116)
by Ole E. Barndorff-Nielsen & Neil Shephard - Realised power variation and stochastic volatility models (RePEc:nuf:econwp:0118)
by Ole E. Barndorff-Nielsen & Neil Shephard - Estimating quadratic variation using realised volatility (RePEc:nuf:econwp:0120)
by Ole E. Barndorff-Nielsen & Neil Shephard - Some recent developments in stochastic volatility modelling (RePEc:nuf:econwp:0125)
by Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard - Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics (RePEc:nuf:econwp:0213)
by Ole E. Barndorff-Nielsen & Neil Shephard - Measuring and forecasting financial variability using realised variance with and without a model (RePEc:nuf:econwp:0221)
by Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi - Power Variation and Time Change (RePEc:nuf:econwp:0224)
by Ole E. Barndorff-Nielsen & Neil Shephard - Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes (RePEc:nuf:econwp:0312)
by Ole E. Barndorff-Nielsen & Neil Shephard - Power and bipower variation with stochastic volatility and jumps (RePEc:nuf:econwp:0318)
by Ole E. Barndorff-Nielsen & Neil Shephard - Power variation & stochastic volatility: a review and some new results (RePEc:nuf:econwp:0319)
by Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard - Econometrics of testing for jumps in financial economics using bipower variation (RePEc:nuf:econwp:0321)
by Ole E. Barndorff-Nielsen & Neil Shephard - Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (RePEc:nuf:econwp:0428)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (RePEc:nuf:econwp:0429)
by Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard - A Feasible Central Limit Theory for Realised Volatility Under Leverage (RePEc:nuf:econwp:043)
by Ole E. Barndorff-Nielsen & Neil Shephard - Multipower Variation and Stochastic Volatility (RePEc:nuf:econwp:0430)
by Ole Barndorff-Nielsen & Neil Shephard - Limit theorems for bipower variation in financial econometrics (RePEc:nuf:econwp:0506)
by Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard - Limit theorems for multipower variation in the presence of jumps (RePEc:nuf:econwp:0507)
by Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel - Variation, jumps, market frictions and high frequency data in financial econometrics (RePEc:nuf:econwp:0516)
by Ole E. Barndorff-Nielsen & Neil Shephard - Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (RePEc:nuf:econwp:0603)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Subsampling realised kernels (RePEc:nuf:econwp:0610)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Measuring downside risk-realised semivariance (RePEc:nuf:econwp:0802)
by Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:nuf:econwp:0810)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Discrete-valued Levy processes and low latency financial econometrics (RePEc:nuf:econwp:1004)
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - Basics of Levy processes (RePEc:nuf:econwp:1206)
by Ole E. Barndorff-Nielsen & Neil Shephard - Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics (RePEc:nuf:econwp:1999-w9/2000-w3)
by Barndorff-Nielsen, O.E. & Shepard, N. - Stochastic Volatility of Volatility and Variance Risk Premia (RePEc:oup:jfinec:v:11:y:2012:i:1:p:1-46)
by Ole E. Barndorff-Nielsen & Almut E. D. Veraart - Power and Bipower Variation with Stochastic Volatility and Jumps (RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37)
by Ole E. Barndorff-Nielsen - Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30)
by Ole E. Barndorff-Nielsen & Neil Shephard - Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics (RePEc:oxf:wpaper:2002-fe-03)
by Neil Shephard & Ole E. Barndorff-Nielsen - Econometrics of testing for jumps in financial economics using bipower variation (RePEc:oxf:wpaper:2004-fe-01)
by Neil Shephard & Ole Barndorff-Nielsen - A feasible central limit theory for realised volatility under leverage (RePEc:oxf:wpaper:2004-fe-03)
by Neil Shephard & Ole Barndorff-Nielsen - Multipower Variation and Stochastic Volatility (RePEc:oxf:wpaper:2004-fe-22)
by Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus - Limit theorems for multipower variation in the presence of jumps (RePEc:oxf:wpaper:2005-fe-06)
by Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus - Modelling and measuring volatility (RePEc:oxf:wpaper:2008--fe-31)
by Neil Shephard & Ole E. Barndorff-Nielsen - Variation, jumps, market frictions and high frequency data in financial econometrics (RePEc:oxf:wpaper:240)
by Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark - Subsampling realised kernels (RePEc:oxf:wpaper:278)
by Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:oxf:wpaper:397)
by Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen - Discrete-valued Levy processes and low latency financial econometrics (RePEc:oxf:wpaper:490)
by Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen - Basics of Levy processes (RePEc:oxf:wpaper:610)
by Neil Shephard & Ole E. Barndorff-Nielsen - Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models (RePEc:oxf:wpaper:71)
by Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus - Normal Modified Stable Processes (RePEc:oxf:wpaper:72)
by Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus - Non-Gaussian OU based models and some of their uses in financial economics (RePEc:sbs:wpsefe:2000mf01)
by Ole Barndorff-Nielsen & Neil Shephard - Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics (RePEc:sbs:wpsefe:2002fe03)
by Ole E. Barndorff-Nielsen & Neil Shephard - Econometrics of testing for jumps in financial economics using bipower variation (RePEc:sbs:wpsefe:2004fe01)
by Ole E. Barndorff-Nielsen & Neil Shephard - A feasible central limit theory for realised volatility under leverage (RePEc:sbs:wpsefe:2004fe03)
by Ole E. Barndorff-Nielsen & Neil Shephard - Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (RePEc:sbs:wpsefe:2004fe20)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (RePEc:sbs:wpsefe:2004fe21)
by Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD - Multipower Variation and Stochastic Volatility (RePEc:sbs:wpsefe:2004fe22)
by Ole E. Barndorff-Nielsen & Neil Shephard - Limit theorems for multipower variation in the presence of jumps (RePEc:sbs:wpsefe:2005fe06)
by Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel - Variation, jumps, market frictions and high frequency data in financial econometrics (RePEc:sbs:wpsefe:2005fe08)
by Ole E. Barndorff-Nielsen & Neil Shephard - Limit theorems for bipower variation in financial econometrics (RePEc:sbs:wpsefe:2005fe09)
by Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard - Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (RePEc:sbs:wpsefe:2006fe05)
by Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard - Subsampling realised kernels (RePEc:sbs:wpsefe:2006fe06)
by Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard - Measuring downside risk - realised semivariance (RePEc:sbs:wpsefe:2008fe01)
by Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard - Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (RePEc:sbs:wpsefe:2008fe29)
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - Modelling and measuring volatility (RePEc:sbs:wpsefe:2008fe31)
by Ole E. Barndorff-Nielsen & Neil Shephard - Approximating exponential models (RePEc:spr:aistmt:v:41:y:1989:i:2:p:247-267)
by O. Barndorff-Nielsen & P. Jupp - Quasi profile and directed likelihoods from estimating functions (RePEc:spr:aistmt:v:47:y:1995:i:3:p:461-464)
by O. Barndorff-Nielsen - A parsimonious and universal description of turbulent velocity increments (RePEc:spr:eurphb:v:41:y:2004:i:3:p:345-363)
by O. Barndorff-Nielsen & P. Blæsild & J. Schmiegel - Processes of normal inverse Gaussian type (RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68)
by Ole E. Barndorff-Nielsen - Apparent scaling (RePEc:spr:finsto:v:5:y:2001:i:1:p:103-113)
by Ole E. Barndorff-Nielsen & Karsten Prause - Infinite Divisibility for Stochastic Processes and Time Change (RePEc:spr:jotpro:v:19:y:2006:i:2:d:10.1007_s10959-006-0020-7)
by Ole E. Barndorff-Nielsen & Makoto Maejima & Ken-iti Sato - Selfdecomposable Fields (RePEc:spr:jotpro:v:30:y:2017:i:1:d:10.1007_s10959-015-0630-z)
by Ole E. Barndorff-Nielsen & Orimar Sauri & Benedykt Szozda - Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes (RePEc:spr:metcap:v:7:y:2005:i:3:d:10.1007_s11009-005-4521-0)
by O. E. Barndorff-Nielsen & N. N. Leonenko - Book reviews (RePEc:spr:metrik:v:45:y:1997:i:1:p:84-93)
by G. Ronning & C. Heyde & O. Aalen & P. Huber & P. Loeb & D. Burkholder & Kh. Alam & O. Barndorff-Nielsen & P. Kloeden - Integer-valued L�vy processes and low latency financial econometrics (RePEc:taf:quantf:v:12:y:2012:i:4:p:587-605)
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - Feller processes of normal inverse Gaussian type (RePEc:taf:quantf:v:1:y:2001:i:3:p:318-331)
by O.E. Barndorff-Nielsen & S.Z. Levendorskii - Some recent developments in stochastic volatility modelling (RePEc:taf:quantf:v:2:y:2002:i:1:p:11-23)
by Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard - A central limit theorem for realised power and bipower variations of continuous semimartingales (RePEc:zbw:sfb475:200451)
by Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark