Details about Ole E. Barndorff-Nielsen

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

Working Papers

2010

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

2009

6. Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
7. Multipower Variation for Brownian Semistationary Processes
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (4)
8. 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
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (12)
   Economics Series Working Papers, University of Oxford, Department of Economics (2008)
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) View citations (10)
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (10)
9. Stochastic volatility of volatility in continuous time
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)
10. The multivariate supOU stochastic volatility model
    CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

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

2006

14. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (28)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (9)
    See also Journal Article in Econometrica (2008)
15. Subsampling realised kernels
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2006) View citations (3)
    OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (8)

2005

16. Limit theorems for bipower variation in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (16)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations (1)
    See also Journal Article in Econometric Theory (2006)
17. Limit theorems for multipower variation in the presence of jumps
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (1)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (27)
18. Variation, jumps, market frictions and high frequency data in financial econometrics
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (8)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005)

2004

19. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (32)
20. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (4)
21. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (1)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations (6)
    See also Journal Article in Journal of Financial Econometrics (2006)
22. Multipower Variation and Stochastic Volatility
    OFRC Working Papers Series, Oxford Financial Research Centre
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004)
23. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (13)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (8)

2003

24. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
    See also Journal Article in Journal of Econometrics (2006)
25. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
    See also Journal Article in Journal of Financial Econometrics (2004)
26. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)

2002

27. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (22)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2002) View citations (1)
28. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
29. Power Variation and Time Change
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)

2001

30. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (36)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2002)
31. Estimating quadratic variation using realised volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
32. Higher order variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
33. How accurate is the asymptotic approximation to the distribution of realised volatility?
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (28)
34. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
35. Normal modified stable processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (7)
36. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (21)
37. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)

2000

38. 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
39. Non-Gaussian OU based models and some of their uses in financial economics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (3)

Journal Articles

2009

1. Realized kernels in practice: trades and quotes
   Econometrics Journal, 2009, 12, (3), C1-C32 View citations (18)

2008

2. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
   Econometrica, 2008, 76, (6), 1481-1536 View citations (23)
   See also Working Paper (2006)

2007

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

2006

5. Comment
   Journal of Business & Economic Statistics, 2006, 24, 179-181
6. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
   Journal of Financial Econometrics, 2006, 4, (1), 1-30 View citations (107)
   See also Working Paper (2004)
7. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
   Journal of Econometrics, 2006, 131, (1-2), 217-252 View citations (22)
   See also Working Paper (2003)
8. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
   Econometric Theory, 2006, 22, (04), 677-719 View citations (48)
   See also Working Paper (2005)

2005

9. Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
   Scandinavian Journal of Statistics, 2005, 32, (4), 617-637 View citations (2)

2004

10. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 View citations (43)
11. Power and Bipower Variation with Stochastic Volatility and Jumps
    Journal of Financial Econometrics, 2004, 2, (1), 1-37 View citations (129)
    See also Working Paper (2003)

2003

12. Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2003, 30, (2), 277-295 View citations (6)
13. On quantum statistical inference
    Journal of the Royal Statistical Society Series B, 2003, 65, (4), 775-804 View citations (2)

2002

14. 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 View citations (229)
    See also Working Paper (2001)
15. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 View citations (79)

2001

16. Apparent scaling
    Finance and Stochastics, 2001, 5, (1), 103-113 View citations (7)
17. 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 View citations (98)

2000

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

1999

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

1998

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

1997

21. Book reviews
    Metrika, 1997, 45, (1), 84-93
22. Processes of normal inverse Gaussian type
    Finance and Stochastics, 1997, 2, (1), 41-68 View citations (30)

1995

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

1991

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

1989

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

1973

27. On the parametrization of autoregressive models by partial autocorrelations
    Journal of Multivariate Analysis, 1973, 3, (4), 408-419 View citations (12)