Access Statistics for Ole E. Barndorff-Nielsen

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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 0 0 1 94 0 1 12 373
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 3 4 17 810
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 0 125 2 2 14 628
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 1 1 9 125
A feasible central limit theory for realised volatility under leverage 0 0 0 92 1 3 9 372
A feasible central limit theory for realised volatility under leverage 0 0 0 0 0 0 5 16
Ambit processes and stochastic partial differential equations 0 0 0 113 1 2 9 308
Assessing Gamma kernels and BSS/LSS processes 0 0 0 88 1 3 11 82
Assessing Relative Volatility/Intermittency/Energy Dissipation 0 0 0 15 1 2 11 56
Basics of Levy processes 0 0 1 108 0 1 17 268
Basics of Levy processes 0 0 0 59 0 0 12 202
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 1 1 11 115
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 136 3 5 44 576
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 2 90 2 7 38 365
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 42 0 1 19 106
Discrete-valued Levy processes and low latency financial econometrics 0 1 1 107 1 2 11 270
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 0 367 0 2 21 1,296
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 1 2 32 0 1 19 154
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 1 1 24 779
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 0 1 18 57
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 3 532 2 2 34 1,325
Econometrics of testing for jumps in financial economics using bipower variation 0 0 1 473 3 5 41 1,183
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 1 3 74 172
Econometrics of testing for jumps in financial economics using bipower variation 1 1 1 253 1 3 22 620
Estimating quadratic variation using realised volatility 0 0 0 329 0 0 17 1,003
Higher order variation and stochastic volatility models 0 0 0 95 0 0 14 298
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 1 399 1 1 19 1,140
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 0 0 7 691
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 3 4 20 186
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 0 2 2 0 1 16 20
Integrated OU Processes 0 0 1 316 1 2 16 782
Limit theorems for bipower variation in financial econometrics 0 0 0 95 1 1 9 322
Limit theorems for bipower variation in financial econometrics 0 0 0 186 1 3 23 568
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 1 2 16 134
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 1 2 14 402
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 2 2 12 41
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 1 2 8 210
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 0 0 9 972
Measuring downside risk - realised semivariance 0 0 1 113 2 6 23 362
Measuring downside risk — realised semivariance 0 0 1 169 3 9 36 412
Measuring downside risk-realised semivariance 0 0 2 350 2 8 46 1,285
Modelling and measuring volatility 0 0 0 259 1 1 8 382
Modelling and measuring volatility 0 0 0 20 0 2 11 51
Modelling electricity forward markets by ambit fields 0 0 0 108 2 2 16 267
Modelling energy spot prices by Lévy semistationary processes 0 0 1 118 2 2 26 207
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 1 2 2 21 3 4 15 92
Multipower Variation and Stochastic Volatility 1 1 1 73 2 2 12 284
Multipower Variation and Stochastic Volatility 0 0 0 0 0 0 11 32
Multipower Variation and Stochastic Volatility 0 0 0 116 0 1 13 311
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 1 2 11 140
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 1 1 1 72 3 5 26 283
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 10 0 0 7 103
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 1 1 46 245
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 2 2 23 407
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 1 2 20 445
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 0 0 16 224
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 0 0 7 340
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 1 2 16 506
Normal Modified Stable Processes 0 0 0 43 0 0 14 130
Normal modified stable processes 0 0 0 186 0 1 11 571
Power Variation and Time Change 0 0 0 168 0 0 13 487
Power and bipower variation with stochastic volatility and jumps 0 3 4 850 2 18 75 2,088
Power variation & stochastic volatility: a review and some new results 0 0 0 265 0 1 13 691
Power variation for Gaussian processes with stationary increments 0 0 0 83 1 1 10 243
Realised power variation and stochastic volatility models 0 0 0 346 0 0 15 793
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 0 12 377
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 0 18 457
Some recent developments in stochastic volatility modelling 0 0 0 397 0 0 10 822
Stochastic volatility of volatility in continuous time 0 1 1 195 1 2 9 393
Subsampling realised kernels 0 0 0 45 0 0 18 273
Subsampling realised kernels 0 0 0 53 0 0 18 258
Subsampling realised kernels 0 0 0 76 0 1 17 354
The multivariate supOU stochastic volatility model 0 0 0 58 1 2 6 138
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 0 1 17 447
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 1 2 11 1,020
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 296 1 4 24 843
Total Working Papers 4 11 36 11,541 70 157 1,402 33,790

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A parsimonious and universal description of turbulent velocity increments 0 0 0 0 0 1 7 34
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 0 0 0 52 0 1 6 155
Apparent scaling 0 0 0 122 0 1 13 464
Approximating exponential models 0 0 1 33 0 1 10 141
Book reviews 0 0 0 0 0 0 7 29
Comment 0 0 0 8 0 1 15 78
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 2 238 7 14 72 797
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 0 279 1 1 16 830
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 1 15 423 2 14 79 1,387
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 1 2 345 5 10 51 1,083
Estimating quadratic variation using realized variance 0 1 3 621 0 2 27 1,870
Exact Distributional Results for Random Resistance Trees 0 0 0 7 1 2 7 30
Feller processes of normal inverse Gaussian type 0 0 0 17 0 1 7 88
First hitting time models for the generalized inverse Gaussian distribution 0 0 1 44 1 1 17 129
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 2 4 22 288
Infinite Divisibility for Stochastic Processes and Time Change 0 0 0 0 0 0 4 6
Information quantities in non-classical settings 0 0 0 10 0 2 10 41
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 0 1 13 96
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 0 0 12 34
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 1 2 13 161
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 0 0 6 311
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 0 3 17 72
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 0 0 6 172
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 2 130 0 4 32 470
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 1 366 1 2 25 778
On quantum statistical inference 0 0 0 26 0 0 13 116
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 1 2 16 84
On the parametrization of autoregressive models by partial autocorrelations 0 0 1 88 0 2 17 228
Power and Bipower Variation with Stochastic Volatility and Jumps 1 2 9 498 11 20 85 1,417
Power variation for Gaussian processes with stationary increments 0 0 0 10 0 0 13 71
Processes of normal inverse Gaussian type 0 5 9 1,445 0 8 27 3,413
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 1 2 11 38
Random Graph Dynamics by Rick Durrett 0 0 0 118 0 0 5 358
Realized kernels in practice: trades and quotes 0 0 0 171 1 5 35 627
Regularizing mappings of Lévy measures 0 0 0 0 0 0 8 19
Selfdecomposable Fields 0 0 0 0 0 0 8 9
Semigroups of Upsilon transformations 0 0 0 0 1 2 11 23
Some parametric models on the simplex 0 0 5 74 0 1 18 188
Some recent developments in stochastic volatility modelling 0 0 0 16 1 2 12 71
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes 0 0 4 5 0 0 9 16
Stationary and self-similar processes driven by Lévy processes 0 0 0 9 0 0 9 33
Stochastic Volatility of Volatility and Variance Risk Premia 0 0 2 42 0 0 17 128
Subsampling realised kernels 0 0 0 52 1 2 19 237
Tail Exactness of Multivariate Saddlepoint Approximations 0 0 0 12 0 0 9 43
The interplay between insurance, finance and control 0 0 0 36 0 1 6 90
Total Journal Articles 1 11 58 5,590 38 115 842 16,753

Chapter 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 0 0 0 0 0 0 5 5
Ambit Processes and Stochastic Partial Differential Equations 0 0 0 0 0 0 3 3
Modelling by Lévy Processess for Financial Econometrics 0 0 0 0 0 0 2 2
Multipower Variation and Stochastic Volatility 0 0 0 0 1 1 3 3
Quantum Information 0 0 0 0 0 0 2 2
The Fascination of Sand 0 0 0 0 2 3 8 8
Time Change, Volatility, and Turbulence 0 0 0 0 0 0 5 5
Total Chapters 0 0 0 0 3 4 28 28

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