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 5 9 369
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 2 7 14 804
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 1 125 0 8 11 624
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 1 2 7 123
A feasible central limit theory for realised volatility under leverage 0 0 0 0 1 1 4 15
A feasible central limit theory for realised volatility under leverage 0 0 1 92 0 5 6 368
Ambit processes and stochastic partial differential equations 0 0 0 113 1 5 8 305
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 1 4 4 49
Basics of Levy processes 0 0 0 59 0 3 10 197
Basics of Levy processes 1 1 2 108 1 9 14 263
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 4 7 110
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 2 2 90 2 9 23 346
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 2 135 3 14 30 556
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 3 6 8 266
Discrete-valued Levy processes and low latency financial econometrics 0 1 1 42 1 12 17 104
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 1 367 1 10 15 1,287
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 1 31 1 5 17 151
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 1 8 13 766
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 3 11 19 54
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 1 1 3 532 2 9 19 1,308
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 2 21 64 160
Econometrics of testing for jumps in financial economics using bipower variation 0 0 3 473 1 7 24 1,163
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 0 2 11 608
Estimating quadratic variation using realised volatility 0 0 1 329 2 6 12 997
Higher order variation and stochastic volatility models 0 0 0 95 1 9 12 296
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 0 398 1 9 16 1,132
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 2 6 7 691
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 2 10 12 178
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 0 0 0 1 9 14 17
Integrated OU Processes 1 1 2 316 1 6 13 775
Limit theorems for bipower variation in financial econometrics 0 0 0 95 0 3 5 318
Limit theorems for bipower variation in financial econometrics 0 0 0 186 0 6 21 562
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 1 7 10 128
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 0 1 4 206
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 0 4 9 38
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 0 6 12 399
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 0 6 9 971
Measuring downside risk - realised semivariance 0 1 1 113 2 11 15 353
Measuring downside risk — realised semivariance 0 1 1 169 0 7 15 389
Measuring downside risk-realised semivariance 1 1 2 350 4 16 32 1,270
Modelling and measuring volatility 0 0 1 259 2 4 11 380
Modelling and measuring volatility 0 0 1 20 0 1 4 43
Modelling electricity forward markets by ambit fields 0 0 0 108 2 8 13 263
Modelling energy spot prices by Lévy semistationary processes 0 0 2 118 1 8 19 199
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 0 0 0 19 0 5 10 86
Multipower Variation and Stochastic Volatility 0 0 0 116 2 7 10 308
Multipower Variation and Stochastic Volatility 0 0 0 72 1 4 9 280
Multipower Variation and Stochastic Volatility 0 0 0 0 1 5 7 28
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 0 3 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 4 10 15 272
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 2 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 5 12 436
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 14 43 239
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 3 9 21 403
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 3 8 16 223
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 2 6 338
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 1 10 13 502
Normal Modified Stable Processes 0 0 1 43 1 6 14 127
Normal modified stable processes 0 0 0 186 1 4 10 567
Power Variation and Time Change 0 0 0 168 0 4 7 481
Power and bipower variation with stochastic volatility and jumps 0 0 2 847 1 8 44 2,052
Power variation & stochastic volatility: a review and some new results 0 0 0 265 1 8 8 686
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 0 7 12 789
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 3 9 447
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 1 4 8 371
Some recent developments in stochastic volatility modelling 0 0 0 397 1 5 8 819
Stochastic volatility of volatility in continuous time 0 0 0 194 0 2 4 387
Subsampling realised kernels 0 0 0 53 0 8 12 252
Subsampling realised kernels 0 0 0 45 2 8 15 269
Subsampling realised kernels 0 0 1 76 0 9 17 352
The multivariate supOU stochastic volatility model 0 0 0 58 0 2 3 135
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 0 7 12 1,018
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 1 13 14 444
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 295 2 11 19 835
Total Working Papers 4 10 35 11,525 77 509 1,019 33,295

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 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 0 1 9 459
Approximating exponential models 0 0 1 33 3 5 7 138
Book reviews 0 0 0 0 1 3 6 28
Comment 0 0 0 8 0 8 12 75
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 1 1 3 238 6 12 44 765
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 1 279 0 4 18 825
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 3 3 18 420 6 21 66 1,349
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 1 1 344 3 15 29 1,058
Estimating quadratic variation using realized variance 0 1 1 619 4 12 22 1,864
Exact Distributional Results for Random Resistance Trees 0 0 0 7 1 3 5 28
Feller processes of normal inverse Gaussian type 0 0 0 17 1 3 5 86
First hitting time models for the generalized inverse Gaussian distribution 0 0 0 43 1 6 11 123
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 1 8 13 279
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 0 5 7 38
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 1 7 12 93
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 1 5 10 32
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 2 5 10 157
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 1 3 6 310
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 1 6 13 66
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 1 2 5 170
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 13 30 462
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 2 366 1 6 23 773
On quantum statistical inference 0 0 0 26 0 7 10 113
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 1 5 14 81
On the parametrization of autoregressive models by partial autocorrelations 0 0 3 88 0 2 17 224
Power and Bipower Variation with Stochastic Volatility and Jumps 1 3 6 495 5 19 58 1,377
Power variation for Gaussian processes with stationary increments 0 0 0 10 0 3 9 67
Processes of normal inverse Gaussian type 1 3 5 1,440 1 6 18 3,403
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 0 3 3 30
Random Graph Dynamics by Rick Durrett 0 0 0 118 0 3 4 357
Realized kernels in practice: trades and quotes 0 0 0 171 2 13 26 616
Regularizing mappings of Lévy measures 0 0 0 0 1 6 7 18
Selfdecomposable Fields 0 0 0 0 0 3 6 6
Semigroups of Upsilon transformations 0 0 0 0 0 2 8 20
Some parametric models on the simplex 1 3 7 74 3 8 18 185
Some recent developments in stochastic volatility modelling 0 0 0 16 0 2 8 66
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes 0 2 3 4 1 5 8 14
Stationary and self-similar processes driven by Lévy processes 0 0 0 9 1 4 5 29
Stochastic Volatility of Volatility and Variance Risk Premia 0 1 2 42 0 8 15 124
Subsampling realised kernels 0 0 0 52 2 7 10 228
Tail Exactness of Multivariate Saddlepoint Approximations 0 0 0 12 1 2 5 39
The interplay between insurance, finance and control 0 0 0 36 0 2 5 88
Total Journal Articles 7 19 59 5,573 54 268 630 16,450

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 1 2 2
Modelling by Lévy Processess for Financial Econometrics 0 0 0 0 1 2 2 2
Multipower Variation and Stochastic Volatility 0 0 0 0 0 1 1 1
Quantum Information 0 0 0 0 0 1 1 1
The Fascination of Sand 0 0 0 0 0 2 3 3
Time Change, Volatility, and Turbulence 0 0 0 0 1 3 3 3
Total Chapters 0 0 0 0 2 14 16 16

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