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Details about Ole E. Barndorff-Nielsen

E-mail:
Homepage:http://www.creates.au.dk/en/people/researchfellows/olebarndorff-nielsen
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Ole E. Barndorff-Nielsen.

Last updated 2010-12-09. Update your information in the RePEc Author Service.

Short-id: pba592


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Working Papers

2010

  1. Ambit processes and stochastic partial differential equations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
  2. Discrete-valued Levy processes and low latency financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010) Downloads
  3. Integer-valued Lévy processes and low latency financial econometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  4. Modelling electricity forward markets by ambit fields
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  5. Modelling energy spot prices by Lévy semistationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2009

  1. Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  2. Multipower Variation for Brownian Semistationary Processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  3. Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) Downloads View citations (10)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (23)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (27)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (23)
  4. Stochastic volatility of volatility in continuous time
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  5. The multivariate supOU stochastic volatility model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2008

  1. Bipower variation for Gaussian processes with stationary increments
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (4)
  2. Measuring downside risk - realised semivariance
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (4)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (4)
  3. Modelling and measuring volatility
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads

2006

  1. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (20)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) Downloads View citations (55)

    See also Journal Article in Econometrica (2008)
  2. Subsampling realised kernels
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (3)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (6)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) Downloads View citations (3)

2005

  1. Limit theorems for bipower variation in financial econometrics
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (3)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) Downloads View citations (21)

    See also Journal Article in Econometric Theory (2006)
  2. Limit theorems for multipower variation in the presence of jumps
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (1)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) Downloads View citations (30)
  3. Variation, jumps, market frictions and high frequency data in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (8)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2005) Downloads View citations (3)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (1)

2004

  1. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (27)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (23)
  2. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (5)
  3. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) Downloads View citations (6)

    See also Journal Article in Journal of Financial Econometrics (2006)
  4. Multipower Variation and Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (1)
  5. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (16)

2003

  1. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2006)
  2. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (8)
    See also Journal Article in Journal of Financial Econometrics (2004)
  3. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)

2002

  1. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (20)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2002) Downloads View citations (1)
  2. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
  3. Power Variation and Time Change
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)

2001

  1. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (35)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2002)
  2. Estimating quadratic variation using realised volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
  3. Higher order variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  4. How accurate is the asymptotic approximation to the distribution of realised volatility?
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (26)
  5. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
  6. Normal modified stable processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
  7. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (19)
  8. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)

2000

  1. Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford
  2. Non-Gaussian OU based models and some of their uses in financial economics
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (10)

Journal Articles

2009

  1. Realized kernels in practice: trades and quotes
    Econometrics Journal, 2009, 12, (3), C1-C32 Downloads View citations (105)

2008

  1. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
    Econometrica, 2008, 76, (6), 1481-1536 Downloads View citations (239)
    See also Working Paper (2006)

2007

  1. Lévy Copulas: Dynamics and Transforms of Upsilon Type
    Scandinavian Journal of Statistics, 2007, 34, (2), 298-316 Downloads View citations (2)
  2. Random Graph Dynamics by Rick Durrett
    International Statistical Review, 2007, 75, (3), 428-428 Downloads

2006

  1. Comment
    Journal of Business & Economic Statistics, 2006, 24, 179-181 Downloads
  2. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
    Journal of Financial Econometrics, 2006, 4, (1), 1-30 Downloads View citations (272)
    See also Working Paper (2004)
  3. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Journal of Econometrics, 2006, 131, (1-2), 217-252 Downloads View citations (27)
    See also Working Paper (2003)
  4. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
    Econometric Theory, 2006, 22, (04), 677-719 Downloads View citations (62)
    See also Working Paper (2005)

2005

  1. Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
    Scandinavian Journal of Statistics, 2005, 32, (4), 617-637 Downloads View citations (5)

2004

  1. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 Downloads View citations (135)
  2. Power and Bipower Variation with Stochastic Volatility and Jumps
    Journal of Financial Econometrics, 2004, 2, (1), 1-37 Downloads View citations (349)
    See also Working Paper (2003)

2003

  1. Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2003, 30, (2), 277-295 Downloads View citations (15)
  2. On quantum statistical inference
    Journal of the Royal Statistical Society Series B, 2003, 65, (4), 775-804 Downloads View citations (3)

2002

  1. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
    Journal of the Royal Statistical Society Series B, 2002, 64, (2), 253-280 Downloads View citations (534)
    See also Working Paper (2001)
  2. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 Downloads View citations (139)

2001

  1. Apparent scaling
    Finance and Stochastics, 2001, 5, (1), 103-113 Downloads View citations (11)
  2. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
    Journal of the Royal Statistical Society Series B, 2001, 63, (2), 167-241 Downloads View citations (306)

2000

  1. Exact Distributional Results for Random Resistance Trees
    Scandinavian Journal of Statistics, 2000, 27, (1), 129-141 Downloads

1999

  1. Tail Exactness of Multivariate Saddlepoint Approximations
    Scandinavian Journal of Statistics, 1999, 26, (2), 253-264 Downloads View citations (3)

1998

  1. The interplay between insurance, finance and control
    Insurance: Mathematics and Economics, 1998, 22, (1), 1-1 Downloads

1997

  1. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1997, 45, (1), 84-93 Downloads
  2. Processes of normal inverse Gaussian type
    Finance and Stochastics, 1997, 2, (1), 41-68 Downloads View citations (35)

1995

  1. Quasi profile and directed likelihoods from estimating functions
    Annals of the Institute of Statistical Mathematics, 1995, 47, (3), 461-464 Downloads View citations (2)

1991

  1. Information quantities in non-classical settings
    Computational Statistics & Data Analysis, 1991, 12, (2), 143-158 Downloads View citations (1)
  2. Some parametric models on the simplex
    Journal of Multivariate Analysis, 1991, 39, (1), 106-116 Downloads View citations (4)

1989

  1. Approximating exponential models
    Annals of the Institute of Statistical Mathematics, 1989, 41, (2), 247-267 Downloads

1973

  1. On the parametrization of autoregressive models by partial autocorrelations
    Journal of Multivariate Analysis, 1973, 3, (4), 408-419 Downloads View citations (32)
 
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