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 1 5 9 369
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 3 5 12 802
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 1 125 2 8 11 624
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 0 4 6 122
A feasible central limit theory for realised volatility under leverage 0 0 0 0 0 0 3 14
A feasible central limit theory for realised volatility under leverage 0 0 1 92 2 5 6 368
Ambit processes and stochastic partial differential equations 0 0 0 113 0 4 7 304
Assessing Gamma kernels and BSS/LSS processes 0 0 0 88 0 4 6 76
Assessing Relative Volatility/Intermittency/Energy Dissipation 0 0 0 15 0 3 3 48
Basics of Levy processes 0 0 0 59 1 6 11 197
Basics of Levy processes 0 0 1 107 1 10 13 262
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 1 4 7 110
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 2 2 90 2 8 23 344
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 2 135 2 13 28 553
Discrete-valued Levy processes and low latency financial econometrics 0 1 1 42 2 11 16 103
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 1 4 6 263
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 1 367 5 10 14 1,286
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 1 31 1 8 16 150
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 4 10 16 51
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 1 8 12 765
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 2 2 531 3 11 17 1,306
Econometrics of testing for jumps in financial economics using bipower variation 0 0 3 473 0 8 24 1,162
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 2 55 62 158
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 0 3 11 608
Estimating quadratic variation using realised volatility 0 0 1 329 2 7 10 995
Higher order variation and stochastic volatility models 0 0 0 95 2 9 11 295
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 0 398 3 9 15 1,131
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 2 4 5 689
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 5 9 10 176
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 0 0 0 1 9 13 16
Integrated OU Processes 0 0 1 315 2 6 12 774
Limit theorems for bipower variation in financial econometrics 0 0 0 186 1 10 21 562
Limit theorems for bipower variation in financial econometrics 0 0 0 95 0 3 5 318
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 1 7 10 127
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 0 4 4 206
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 2 5 9 38
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 2 10 12 399
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 1 8 9 971
Measuring downside risk - realised semivariance 1 1 1 113 6 9 14 351
Measuring downside risk — realised semivariance 1 1 2 169 4 9 17 389
Measuring downside risk-realised semivariance 0 1 1 349 3 15 28 1,266
Modelling and measuring volatility 0 0 1 259 1 3 9 378
Modelling and measuring volatility 0 0 1 20 0 2 5 43
Modelling electricity forward markets by ambit fields 0 0 0 108 1 7 11 261
Modelling energy spot prices by Lévy semistationary processes 0 0 2 118 2 11 18 198
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 0 0 0 19 0 7 11 86
Multipower Variation and Stochastic Volatility 0 0 0 72 0 6 8 279
Multipower Variation and Stochastic Volatility 0 0 0 0 0 5 6 27
Multipower Variation and Stochastic Volatility 0 0 0 116 4 6 8 306
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 1 4 6 135
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 71 3 6 12 268
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 10 0 3 6 100
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 6 12 435
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 6 13 220
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 24 42 238
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 0 9 18 400
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 1 2 6 338
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 3 11 12 501
Normal Modified Stable Processes 0 0 1 43 0 5 13 126
Normal modified stable processes 0 0 0 186 1 3 9 566
Power Variation and Time Change 0 0 0 168 1 5 7 481
Power and bipower variation with stochastic volatility and jumps 0 1 2 847 0 24 43 2,051
Power variation & stochastic volatility: a review and some new results 0 0 0 265 1 7 7 685
Power variation for Gaussian processes with stationary increments 0 0 0 83 0 2 4 237
Realised power variation and stochastic volatility models 0 0 0 346 5 11 12 789
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 1 3 7 370
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 2 7 10 447
Some recent developments in stochastic volatility modelling 0 0 0 397 3 5 7 818
Stochastic volatility of volatility in continuous time 0 0 0 194 0 3 4 387
Subsampling realised kernels 0 0 1 76 1 11 17 352
Subsampling realised kernels 0 0 0 53 1 10 12 252
Subsampling realised kernels 0 0 0 45 0 10 13 267
The multivariate supOU stochastic volatility model 0 0 0 58 2 3 3 135
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 295 3 12 17 833
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 6 13 13 443
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 2 7 12 1,018
Total Working Papers 3 10 32 11,521 118 599 957 33,218

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 3 4 6 32
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 0 0 1 52 0 1 6 152
Apparent scaling 0 0 0 122 1 3 9 459
Approximating exponential models 0 0 1 33 0 2 5 135
Book reviews 0 0 0 0 1 2 5 27
Comment 0 0 0 8 2 9 12 75
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 2 237 3 9 39 759
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 1 279 3 7 18 825
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 3 15 417 7 25 61 1,343
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 1 1 1 344 7 13 26 1,055
Estimating quadratic variation using realized variance 0 1 1 619 1 11 18 1,860
Exact Distributional Results for Random Resistance Trees 0 0 0 7 0 4 4 27
Feller processes of normal inverse Gaussian type 0 0 0 17 0 4 4 85
First hitting time models for the generalized inverse Gaussian distribution 0 0 0 43 2 9 10 122
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 2 8 12 278
Infinite Divisibility for Stochastic Processes and Time Change 0 0 0 0 0 0 1 3
Information quantities in non-classical settings 0 0 0 10 2 6 7 38
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 2 8 11 92
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 1 5 2 7 11 31
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 0 5 8 155
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 0 3 5 309
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 2 6 12 65
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 0 2 4 169
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 4 129 1 14 29 461
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 3 366 2 7 23 772
On quantum statistical inference 0 0 0 26 2 9 11 113
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 0 6 13 80
On the parametrization of autoregressive models by partial autocorrelations 0 0 3 88 0 6 18 224
Power and Bipower Variation with Stochastic Volatility and Jumps 1 2 5 494 6 18 53 1,372
Power variation for Gaussian processes with stationary increments 0 0 0 10 1 6 9 67
Processes of normal inverse Gaussian type 1 2 4 1,439 3 6 17 3,402
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 0 3 3 30
Random Graph Dynamics by Rick Durrett 0 0 1 118 0 3 5 357
Realized kernels in practice: trades and quotes 0 0 0 171 4 14 25 614
Regularizing mappings of Lévy measures 0 0 0 0 3 6 6 17
Selfdecomposable Fields 0 0 0 0 0 3 6 6
Semigroups of Upsilon transformations 0 0 0 0 1 6 8 20
Some parametric models on the simplex 1 3 6 73 3 6 17 182
Some recent developments in stochastic volatility modelling 0 0 0 16 0 4 8 66
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes 0 2 3 4 0 4 7 13
Stationary and self-similar processes driven by Lévy processes 0 0 0 9 2 3 4 28
Stochastic Volatility of Volatility and Variance Risk Premia 0 1 2 42 4 10 15 124
Subsampling realised kernels 0 0 0 52 0 6 8 226
Tail Exactness of Multivariate Saddlepoint Approximations 0 0 0 12 0 4 4 38
The interplay between insurance, finance and control 0 0 0 36 0 2 5 88
Total Journal Articles 4 16 55 5,566 72 294 588 16,396

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 4 4 4
Ambit Processes and Stochastic Partial Differential Equations 0 0 0 0 0 2 2 2
Modelling by Lévy Processess for Financial Econometrics 0 0 0 0 0 1 1 1
Multipower Variation and Stochastic Volatility 0 0 0 0 0 1 1 1
Quantum Information 0 0 0 0 1 1 1 1
The Fascination of Sand 0 0 0 0 0 3 3 3
Time Change, Volatility, and Turbulence 0 0 0 0 0 2 2 2
Total Chapters 0 0 0 0 1 14 14 14

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