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Details about Ole E. Barndorff-Nielsen

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

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

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pba592


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Working Papers

2016

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

2014

  1. Integer-valued trawl processes: A class of stationary infinitely divisible processes
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (8)
    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) Downloads View citations (9) (2014)

2013

  1. Assessing Relative Volatility/Intermittency/Energy Dissipation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
    Papers, arXiv.org Downloads View citations (51)

2012

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

2011

  1. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Post-Print, HAL Downloads View citations (223)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (28)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (32)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) Downloads View citations (6)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (36)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (36)

    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) Downloads View citations (259) (2011)

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 Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (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 (9)
  5. Modelling energy spot prices by Lévy semistationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (7)

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 (5)
  3. Stochastic volatility of volatility in continuous time
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (8)
  4. 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)

    See also Journal Article Power variation for Gaussian processes with stationary increments, Stochastic Processes and their Applications, Elsevier (2009) Downloads View citations (28) (2009)
  2. Measuring downside risk - realised semivariance
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (39)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (22)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (39)
  3. Modelling and measuring volatility
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads

2006

  1. 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 Downloads View citations (77)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (48)

    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) Downloads View citations (693) (2008)
  2. Subsampling realised kernels
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (5)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) Downloads View citations (5)
    OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (8)

    See also Journal Article Subsampling realised kernels, Journal of Econometrics, Elsevier (2011) Downloads View citations (36) (2011)

2005

  1. Limit theorems for bipower variation in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (23)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (4)

    See also Journal Article LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS, Econometric Theory, Cambridge University Press (2006) Downloads View citations (83) (2006)
  2. Limit theorems for multipower variation in the presence of jumps
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) Downloads View citations (32)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (2)

    See also Journal Article Limit theorems for multipower variation in the presence of jumps, Stochastic Processes and their Applications, Elsevier (2006) Downloads View citations (103) (2006)
  3. Variation, jumps, market frictions and high frequency data in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (24)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2005) Downloads View citations (20)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (22)

2004

  1. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (28)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (29)
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2004) Downloads View citations (28)
  2. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    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 (2003)
    OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (6)
  3. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) Downloads 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) Downloads View citations (652) (2006)
  4. Multipower Variation and Stochastic Volatility
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (1)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (5)
    Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (1)
  5. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (30)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (30)

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 (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) Downloads View citations (32) (2006)
  2. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (13)
    See also Journal Article Power and Bipower Variation with Stochastic Volatility and Jumps, Journal of Financial Econometrics, Oxford University Press (2004) Downloads View citations (790) (2004)
  3. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)

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

2001

  1. Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) Downloads 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) Downloads View citations (1147) (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 (27)
  5. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (4)
  6. Normal Modified Stable Processes
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (42)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) Downloads View citations (42)
  7. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (22)
  8. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    See also Journal Article Some recent developments in stochastic volatility modelling, Quantitative Finance, Taylor & Francis Journals (2002) Downloads View citations (37) (2002)

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 (11)

Journal Articles

2017

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

2014

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

2012

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

2011

  1. 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 Downloads View citations (259)
    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) Downloads View citations (223) (2011)
  2. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 Downloads View citations (36)
    See also Working Paper Subsampling realised kernels, Economics Series Working Papers (2006) Downloads View citations (5) (2006)

2009

  1. Power variation for Gaussian processes with stationary increments
    Stochastic Processes and their Applications, 2009, 119, (6), 1845-1865 Downloads View citations (28)
    See also Working Paper Bipower variation for Gaussian processes with stationary increments, CREATES Research Papers (2008) Downloads View citations (2) (2008)
  2. Realized kernels in practice: trades and quotes
    Econometrics Journal, 2009, 12, (3), C1-C32 View citations (322)

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 (693)
    See also Working Paper Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, Economics Papers (2006) Downloads View citations (77) (2006)
  2. Semigroups of Upsilon transformations
    Stochastic Processes and their Applications, 2008, 118, (12), 2334-2343 Downloads

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 View citations (1)

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 (652)
    See also Working Paper Econometrics of testing for jumps in financial economics using bipower variationÂ, OFRC Working Papers Series (2004) Downloads View citations (6) (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 (32)
    See also Working Paper Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes, Economics Papers (2003) Downloads View citations (4) (2003)
  4. Infinite Divisibility for Stochastic Processes and Time Change
    Journal of Theoretical Probability, 2006, 19, (2), 411-446 Downloads View citations (3)
  5. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
    Econometric Theory, 2006, 22, (4), 677-719 Downloads View citations (83)
    See also Working Paper Limit theorems for bipower variation in financial econometrics, Economics Papers (2005) Downloads View citations (23) (2005)
  6. Limit theorems for multipower variation in the presence of jumps
    Stochastic Processes and their Applications, 2006, 116, (5), 796-806 Downloads View citations (103)
    See also Working Paper Limit theorems for multipower variation in the presence of jumps, Economics Series Working Papers (2005) View citations (3) (2005)
  7. Regularizing mappings of Lévy measures
    Stochastic Processes and their Applications, 2006, 116, (3), 423-446 Downloads View citations (1)

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 (18)
  2. Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes
    Methodology and Computing in Applied Probability, 2005, 7, (3), 335-352 Downloads

2004

  1. A parsimonious and universal description of turbulent velocity increments
    The European Physical Journal B: Condensed Matter and Complex Systems, 2004, 41, (3), 345-363 Downloads View citations (6)
  2. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 Downloads View citations (383)
  3. Power and Bipower Variation with Stochastic Volatility and Jumps
    Journal of Financial Econometrics, 2004, 2, (1), 1-37 Downloads View citations (790)
    See also Working Paper Power and bipower variation with stochastic volatility and jumps, Economics Papers (2003) Downloads View citations (13) (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 (39)
  2. On quantum statistical inference
    Journal of the Royal Statistical Society Series B, 2003, 65, (4), 775-804 Downloads View citations (7)

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 (1147)
    See also Working Paper Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models, Economics Series Working Papers (2001) Downloads View citations (6) (2001)
  2. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 Downloads View citations (267)
  3. Some recent developments in stochastic volatility modelling
    Quantitative Finance, 2002, 2, (1), 11-23 Downloads View citations (37)
    See also Working Paper Some recent developments in stochastic volatility modelling, Economics Papers (2001) Downloads View citations (3) (2001)

2001

  1. Apparent scaling
    Finance and Stochastics, 2001, 5, (1), 103-113 Downloads View citations (10)
  2. Feller processes of normal inverse Gaussian type
    Quantitative Finance, 2001, 1, (3), 318-331 Downloads View citations (51)
  3. 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 (544)

2000

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

1999

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

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 (87)

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 (3)

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 (22)

1989

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

1978

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

1973

  1. On the parametrization of autoregressive models by partial autocorrelations
    Journal of Multivariate Analysis, 1973, 3, (4), 408-419 Downloads View citations (50)
 
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