Access Statistics for Ole E. Barndorff-Nielsen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 1 3 15 76 2 8 28 266
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 4 9 56 158 13 29 114 464
A Feasible Central Limit Theory for Realised Volatility Under Leverage 3 7 15 101 5 15 48 494
A feasible central limit theory for realised volatility under leverage 0 0 7 77 2 3 16 291
Bipower variation for Gaussian processes with stationary increments 0 1 12 18 4 6 27 35
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 4 11 50 2 8 32 149
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 5 11 36 145 7 24 93 304
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 3 20 53 3 10 52 168
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 4 10 57 260 23 49 167 868
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 3 6 28 72 4 10 51 162
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 3 11 41 310 6 15 73 590
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 2 9 33 366 5 23 88 790
Econometrics of testing for jumps in financial economics using bipower variation 1 7 52 223 6 19 103 447
Econometrics of testing for jumps in financial economics using bipower variation 1 3 24 162 5 9 44 301
Estimating quadratic variation using realised volatility 7 11 43 203 18 34 117 603
Higher order variation and stochastic volatility models 0 1 8 71 1 5 18 218
How accurate is the asymptotic approximation to the distribution of realised volatility? 1 4 34 218 5 13 76 733
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 6 8 30 246 7 14 55 456
Integrated OU Processes 2 5 24 236 4 9 44 567
Limit theorems for bipower variation in financial econometrics 0 0 13 83 1 3 27 198
Limit theorems for bipower variation in financial econometrics 3 7 28 96 8 17 66 230
Limit theorems for multipower variation in the presence of jumps 0 6 29 82 5 25 67 187
Limit theorems for multipower variation in the presence of jumps 0 0 7 35 1 3 22 127
Measuring and forecasting financial variability using realised variance with and without a model 0 3 21 139 8 23 119 604
Measuring downside risk - realised semivariance 4 13 57 106 12 37 186 303
Measuring downside risk - realised semivariance 4 5 20 68 8 10 67 150
Measuring downside risk — realised semivariance 3 5 30 56 7 11 55 69
Measuring downside risk-realised semivariance 11 20 42 82 32 60 128 167
Multipower Variation and Stochastic Volatility 1 5 14 70 4 15 41 160
Multipower Variation and Stochastic Volatility 0 1 9 55 1 3 20 180
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 2 5 22 22 11 19 56 56
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 3 3 8 29 6 8 34 54
Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 8 32 36 4 17 64 70
Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics 0 0 0 2 3 6 32 187
Non-Gaussian OU based models and some of their uses in financial economics 0 3 26 141 2 8 57 273
Normal Modified Stable Processes 1 2 13 44 2 3 29 126
Normal modified stable processes 2 8 19 143 4 12 36 402
Power Variation and Time Change 5 6 25 101 9 17 49 259
Power and bipower variation with stochastic volatility and jumps 15 37 159 416 27 80 311 819
Power variation & stochastic volatility: a review and some new results 5 10 38 168 12 25 76 337
Power variation for Gaussian processes with stationary increments 2 4 33 40 4 13 84 100
Realised power variation and stochastic volatility models 4 11 52 256 6 21 77 547
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 1 2 15 67 4 9 41 188
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 1 1 4 80 3 4 18 223
Some recent developments in stochastic volatility modelling 2 6 27 320 11 23 61 610
Subsampling realised kernels 1 5 12 32 2 12 42 128
Subsampling realised kernels 1 3 11 29 5 14 34 97
Subsampling realised kernels 1 4 8 37 3 9 29 128
Variation, jumps, market frictions and high frequency data in financial econometrics 7 9 16 118 23 29 50 222
Variation, jumps, market frictions and high frequency data in financial econometrics 8 13 47 167 11 20 87 358
Variation, jumps, market frictions and high frequency data in financial econometrics 4 8 32 102 9 25 85 207
Total Working Papers 137 326 1,415 6,267 370 884 3,396 15,672

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 1 1 12 23 3 6 27 65
Apparent scaling 2 5 18 85 6 11 35 320
Approximating exponential models 0 1 6 12 2 6 38 62
Book reviews 0 0 0 0 1 2 2 5
Comment 0 1 1 2 1 3 5 35
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 5 12 30 194 7 18 57 506
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 1 3 46 87 3 11 99 203
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2 5 26 86 6 13 51 199
Estimating quadratic variation using realized variance 7 26 88 424 18 50 181 1,242
Exact Distributional Results for Random Resistance Trees 0 0 1 4 1 2 4 8
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 1 8 34 2 6 16 95
Information quantities in non-classical settings 1 1 1 2 2 3 4 11
Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models 4 7 19 33 5 10 33 57
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 11 36 1 5 30 93
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics 4 12 66 151 11 28 112 255
On quantum statistical inference 1 1 9 12 2 3 21 37
Power and Bipower Variation with Stochastic Volatility and Jumps 9 24 67 212 11 37 124 418
Processes of normal inverse Gaussian type 14 29 128 1,061 19 42 189 2,705
Quasi profile and directed likelihoods from estimating functions 0 1 2 2 1 3 7 10
Random Graph Dynamics by Rick Durrett 4 12 36 59 9 22 79 159
Tail Exactness of Multivariate Saddlepoint Approximations 0 3 3 6 1 5 8 13
The interplay between insurance, finance and control 0 0 4 14 1 2 9 41
Total Journal Articles 55 145 582 2,539 113 288 1,131 6,539

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Swedish Business School at Örebro University.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2009-11-04