Details about Ole E. Barndorff-Nielsen

This author is deceased (2022-06-26).

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

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Short-id: pba592

Working Papers

2016

1. Assessing Gamma kernels and BSS/LSS processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2014

2. Integer-valued trawl processes: A class of stationary infinitely divisible processes
   Scholarly Articles, Harvard University Department of Economics View citations (9)
   See also Journal Article Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2014) View citations (10) (2014)

2013

3. Assessing Relative Volatility/Intermittency/Energy Dissipation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
4. Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
   Papers, arXiv.org View citations (55)

2012

5. Basics of Levy processes
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2012) View citations (4)

2011

6. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
   Post-Print, HAL View citations (251)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (37)
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) View citations (6)
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (33)
   OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (37)
   Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (29)
   See also Journal Article Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Journal of Econometrics, Elsevier (2011) View citations (288) (2011)

2010

7. Ambit processes and stochastic partial differential equations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
8. Discrete-valued Levy processes and low latency financial econometrics
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010)
9. Integer-valued Lévy processes and low latency financial econometrics
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
10. Modelling electricity forward markets by ambit fields
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
11. Modelling energy spot prices by Lévy semistationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)

2009

12. Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
13. Multipower Variation for Brownian Semistationary Processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
14. Stochastic volatility of volatility in continuous time
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
15. The multivariate supOU stochastic volatility model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2008

16. Bipower variation for Gaussian processes with stationary increments
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (4)
    See also Journal Article Power variation for Gaussian processes with stationary increments, Stochastic Processes and their Applications, Elsevier (2009) View citations (28) (2009)
17. Measuring downside risk - realised semivariance
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (49)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (32)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (49)
18. Modelling and measuring volatility
    OFRC Working Papers Series, Oxford Financial Research Centre
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008)

2006

19. 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 View citations (48)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) View citations (77)
    See also Journal Article Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise, Econometrica, Econometric Society (2008) View citations (744) (2008)
20. Subsampling realised kernels
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (8)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) View citations (5)
    See also Journal Article Subsampling realised kernels, Journal of Econometrics, Elsevier (2011) View citations (41) (2011)

2005

21. Limit theorems for bipower variation in financial econometrics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (23)
    See also Journal Article LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS, Econometric Theory, Cambridge University Press (2006) View citations (85) (2006)
22. Limit theorems for multipower variation in the presence of jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (32)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2005) View citations (3)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations (2)
    See also Journal Article Limit theorems for multipower variation in the presence of jumps, Stochastic Processes and their Applications, Elsevier (2006) View citations (106) (2006)
23. Variation, jumps, market frictions and high frequency data in financial econometrics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (23)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2005) View citations (21)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (25)

2004

24. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (28)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2004) View citations (28)
    OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (29)
25. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2003)
    OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (6)
26. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations (10)
    Economics Series Working Papers, University of Oxford, Department of Economics (2003) View citations (4)
    See also Journal Article Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation, Journal of Financial Econometrics, Oxford University Press (2006) View citations (689) (2006)
27. Multipower Variation and Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (1)
    Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (1)
28. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (31)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (31)

2003

29. 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 (4)
    See also Journal Article Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes, Journal of Econometrics, Elsevier (2006) View citations (34) (2006)
30. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (13)
    See also Journal Article Power and Bipower Variation with Stochastic Volatility and Jumps, Journal of Financial Econometrics, Oxford University Press (2004) View citations (790) (2004)
31. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)

2002

32. 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 (27)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2002) View citations (5)
    OFRC Working Papers Series, Oxford Financial Research Centre (2002) View citations (12)
33. 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)
34. Power Variation and Time Change
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)

2001

35. Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (38)
    See also Journal Article Econometric analysis of realized volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2002) View citations (1194) (2002)
36. Estimating quadratic variation using realised volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
37. Higher order variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
38. How accurate is the asymptotic approximation to the distribution of realised volatility?
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (27)
39. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
40. Normal Modified Stable Processes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (43)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (43)
41. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (22)
42. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
    See also Journal Article Some recent developments in stochastic volatility modelling, Quantitative Finance, Taylor & Francis Journals (2002) View citations (39) (2002)

2000

43. 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
44. Non-Gaussian OU based models and some of their uses in financial economics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (11)

Journal Articles

2017

1. Selfdecomposable Fields
   Journal of Theoretical Probability, 2017, 30, (1), 233-267

2014

2. Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
   Scandinavian Journal of Statistics, 2014, 41, (3), 693-724 View citations (10)
   See also Working Paper Integer-valued trawl processes: A class of stationary infinitely divisible processes, Scholarly Articles (2014) View citations (9) (2014)
3. On stochastic integration for volatility modulated Lévy-driven Volterra processes
   Stochastic Processes and their Applications, 2014, 124, (1), 812-847 View citations (8)

2012

4. Integer-valued L�vy processes and low latency financial econometrics
   Quantitative Finance, 2012, 12, (4), 587-605 View citations (21)
5. Stochastic Volatility of Volatility and Variance Risk Premia
   Journal of Financial Econometrics, 2012, 11, (1), 1-46 View citations (14)

2011

6. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
   Journal of Econometrics, 2011, 162, (2), 149-169 View citations (288)
   See also Working Paper Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Post-Print (2011) View citations (251) (2011)
7. Subsampling realised kernels
   Journal of Econometrics, 2011, 160, (1), 204-219 View citations (41)
   See also Working Paper Subsampling realised kernels, Economics Series Working Papers (2006) View citations (5) (2006)

2009

8. Power variation for Gaussian processes with stationary increments
   Stochastic Processes and their Applications, 2009, 119, (6), 1845-1865 View citations (28)
   See also Working Paper Bipower variation for Gaussian processes with stationary increments, CREATES Research Papers (2008) View citations (2) (2008)
9. Realized kernels in practice: trades and quotes
   Econometrics Journal, 2009, 12, (3), C1-C32 View citations (345)

2008

10. 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 (744)
    See also Working Paper Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, OFRC Working Papers Series (2006) View citations (48) (2006)
11. Semigroups of Upsilon transformations
    Stochastic Processes and their Applications, 2008, 118, (12), 2334-2343

2007

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

2006

14. Comment
    Journal of Business & Economic Statistics, 2006, 24, 179-181
15. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
    Journal of Financial Econometrics, 2006, 4, (1), 1-30 View citations (689)
    See also Working Paper Econometrics of testing for jumps in financial economics using bipower variationÂ, OFRC Working Papers Series (2004) View citations (6) (2004)
16. 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 (34)
    See also Working Paper Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes, Economics Papers (2003) View citations (4) (2003)
17. Infinite Divisibility for Stochastic Processes and Time Change
    Journal of Theoretical Probability, 2006, 19, (2), 411-446 View citations (3)
18. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
    Econometric Theory, 2006, 22, (4), 677-719 View citations (85)
    See also Working Paper Limit theorems for bipower variation in financial econometrics, OFRC Working Papers Series (2005) View citations (4) (2005)
19. Limit theorems for multipower variation in the presence of jumps
    Stochastic Processes and their Applications, 2006, 116, (5), 796-806 View citations (106)
    See also Working Paper Limit theorems for multipower variation in the presence of jumps, Economics Papers (2005) View citations (32) (2005)
20. Regularizing mappings of Lévy measures
    Stochastic Processes and their Applications, 2006, 116, (3), 423-446 View citations (1)

2005

21. 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 (19)
22. Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes
    Methodology and Computing in Applied Probability, 2005, 7, (3), 335-352

2004

23. A parsimonious and universal description of turbulent velocity increments
    The European Physical Journal B: Condensed Matter and Complex Systems, 2004, 41, (3), 345-363 View citations (6)
24. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 View citations (409)
25. Power and Bipower Variation with Stochastic Volatility and Jumps
    Journal of Financial Econometrics, 2004, 2, (1), 1-37 View citations (790)
    See also Working Paper Power and bipower variation with stochastic volatility and jumps, Economics Papers (2003) View citations (13) (2003)

2003

26. Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2003, 30, (2), 277-295 View citations (39)
27. On quantum statistical inference
    Journal of the Royal Statistical Society Series B, 2003, 65, (4), 775-804 View citations (8)

2002

28. 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 (1194)
    See also Working Paper Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models, Economics Series Working Papers (2001) View citations (6) (2001)
29. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 View citations (276)
30. Some recent developments in stochastic volatility modelling
    Quantitative Finance, 2002, 2, (1), 11-23 View citations (39)
    See also Working Paper Some recent developments in stochastic volatility modelling, Economics Papers (2001) View citations (3) (2001)

2001

31. Apparent scaling
    Finance and Stochastics, 2001, 5, (1), 103-113 View citations (10)
32. Feller processes of normal inverse Gaussian type
    Quantitative Finance, 2001, 1, (3), 318-331 View citations (54)
33. 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 (559)

2000

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

1999

35. Stationary and self-similar processes driven by Lévy processes
    Stochastic Processes and their Applications, 1999, 84, (2), 357-369 View citations (3)
36. Tail Exactness of Multivariate Saddlepoint Approximations
    Scandinavian Journal of Statistics, 1999, 26, (2), 253-264 View citations (4)

1998

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

1997

38. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1997, 45, (1), 84-93
39. Processes of normal inverse Gaussian type
    Finance and Stochastics, 1997, 2, (1), 41-68 View citations (86)

1995

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

1991

41. Information quantities in non-classical settings
    Computational Statistics & Data Analysis, 1991, 12, (2), 143-158 View citations (1)
42. Some parametric models on the simplex
    Journal of Multivariate Analysis, 1991, 39, (1), 106-116 View citations (22)

1989

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

1978

44. First hitting time models for the generalized inverse Gaussian distribution
    Stochastic Processes and their Applications, 1978, 7, (1), 49-54 View citations (6)

1973

45. On the parametrization of autoregressive models by partial autocorrelations
    Journal of Multivariate Analysis, 1973, 3, (4), 408-419 View citations (52)