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 4 12 373
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 0 2 14 806
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 0 125 0 2 12 626
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 0 1 8 124
A feasible central limit theory for realised volatility under leverage 0 0 0 92 0 1 6 369
A feasible central limit theory for realised volatility under leverage 0 0 0 0 0 1 5 16
Ambit processes and stochastic partial differential equations 0 0 0 113 1 2 10 307
Assessing Gamma kernels and BSS/LSS processes 0 0 0 88 2 5 10 81
Assessing Relative Volatility/Intermittency/Energy Dissipation 0 0 0 15 0 5 9 54
Basics of Levy processes 0 0 2 108 1 5 18 268
Basics of Levy processes 0 0 0 59 0 5 14 202
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 4 11 114
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 2 90 5 17 38 363
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 3 136 2 17 47 573
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 42 1 2 19 106
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 0 2 9 268
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 0 367 1 8 21 1,295
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 1 31 0 2 18 153
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 1 3 19 57
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 0 12 24 778
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 3 532 0 15 34 1,323
Econometrics of testing for jumps in financial economics using bipower variation 0 0 1 473 2 17 38 1,180
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 1 10 73 170
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 0 9 19 617
Estimating quadratic variation using realised volatility 0 0 0 329 0 6 17 1,003
Higher order variation and stochastic volatility models 0 0 0 95 0 2 14 298
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 1 1 399 0 7 21 1,139
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 1 5 17 183
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 2 2 2 1 3 16 20
Integrated OU Processes 0 0 1 316 0 5 16 780
Limit theorems for bipower variation in financial econometrics 0 0 0 95 0 3 8 321
Limit theorems for bipower variation in financial econometrics 0 0 0 186 2 5 26 567
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 0 4 14 132
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 0 1 10 39
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 1 3 7 209
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 1 2 14 401
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 0 1 10 972
Measuring downside risk - realised semivariance 0 0 1 113 2 5 20 358
Measuring downside risk — realised semivariance 0 0 1 169 3 17 31 406
Measuring downside risk-realised semivariance 0 0 2 350 3 10 42 1,280
Modelling and measuring volatility 0 0 0 20 2 8 11 51
Modelling and measuring volatility 0 0 0 259 0 1 7 381
Modelling electricity forward markets by ambit fields 0 0 0 108 0 2 14 265
Modelling energy spot prices by Lévy semistationary processes 0 0 1 118 0 6 24 205
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 1 1 1 20 1 3 13 89
Multipower Variation and Stochastic Volatility 0 0 0 116 1 3 13 311
Multipower Variation and Stochastic Volatility 0 0 0 72 0 2 11 282
Multipower Variation and Stochastic Volatility 0 0 0 0 0 4 11 32
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 1 4 10 139
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 71 0 6 21 278
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 3 8 103
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 0 5 48 244
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 1 16 224
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 2 23 405
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 8 20 444
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 8 340
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 1 3 15 505
Normal Modified Stable Processes 0 0 0 43 0 3 14 130
Normal modified stable processes 0 0 0 186 1 4 14 571
Power Variation and Time Change 0 0 0 168 0 6 13 487
Power and bipower variation with stochastic volatility and jumps 2 2 3 849 10 28 70 2,080
Power variation & stochastic volatility: a review and some new results 0 0 0 265 1 5 13 691
Power variation for Gaussian processes with stationary increments 0 0 0 83 0 5 9 242
Realised power variation and stochastic volatility models 0 0 0 346 0 4 16 793
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 10 19 457
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 6 12 377
Some recent developments in stochastic volatility modelling 0 0 0 397 0 3 11 822
Stochastic volatility of volatility in continuous time 1 1 1 195 1 5 9 392
Subsampling realised kernels 0 0 0 45 0 4 19 273
Subsampling realised kernels 0 0 1 76 0 1 18 353
Subsampling realised kernels 0 0 0 53 0 6 18 258
The multivariate supOU stochastic volatility model 0 0 0 58 1 2 5 137
Variation, jumps, market frictions and high frequency data in financial econometrics 0 1 1 296 1 5 22 840
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 1 3 17 447
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 1 1 12 1,019
Total Working Papers 4 9 31 11,534 56 394 1,362 33,689

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 1 2 7 34
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 0 0 0 52 1 3 7 155
Apparent scaling 0 0 0 122 0 4 12 463
Approximating exponential models 0 0 1 33 0 2 9 140
Book reviews 0 0 0 0 0 1 7 29
Comment 0 0 0 8 0 2 14 77
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 2 238 5 23 66 788
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 0 279 0 4 18 829
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 1 3 17 423 8 32 81 1,381
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 0 1 344 3 18 45 1,076
Estimating quadratic variation using realized variance 1 2 3 621 1 5 27 1,869
Exact Distributional Results for Random Resistance Trees 0 0 0 7 1 1 6 29
Feller processes of normal inverse Gaussian type 0 0 0 17 1 2 7 88
First hitting time models for the generalized inverse Gaussian distribution 0 1 1 44 0 5 16 128
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 2 7 20 286
Infinite Divisibility for Stochastic Processes and Time Change 0 0 0 0 0 3 4 6
Information quantities in non-classical settings 0 0 0 10 1 2 9 40
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 0 2 12 95
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 0 2 12 34
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 0 2 12 159
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 0 1 7 311
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 1 4 17 70
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 0 2 7 172
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 1 2 130 1 5 30 467
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 1 366 1 4 26 777
On quantum statistical inference 0 0 0 26 0 3 13 116
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 0 1 14 82
On the parametrization of autoregressive models by partial autocorrelations 0 0 2 88 1 3 18 227
Power and Bipower Variation with Stochastic Volatility and Jumps 1 2 8 497 4 24 78 1,401
Power variation for Gaussian processes with stationary increments 0 0 0 10 0 4 13 71
Processes of normal inverse Gaussian type 1 1 6 1,441 1 3 21 3,406
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 0 6 9 36
Random Graph Dynamics by Rick Durrett 0 0 0 118 0 1 5 358
Realized kernels in practice: trades and quotes 0 0 0 171 2 8 33 624
Regularizing mappings of Lévy measures 0 0 0 0 0 1 8 19
Selfdecomposable Fields 0 0 0 0 0 3 8 9
Semigroups of Upsilon transformations 0 0 0 0 1 2 10 22
Some parametric models on the simplex 0 0 5 74 1 3 19 188
Some recent developments in stochastic volatility modelling 0 0 0 16 0 3 11 69
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes 0 1 4 5 0 2 10 16
Stationary and self-similar processes driven by Lévy processes 0 0 0 9 0 4 9 33
Stochastic Volatility of Volatility and Variance Risk Premia 0 0 2 42 0 4 18 128
Subsampling realised kernels 0 0 0 52 0 7 17 235
Tail Exactness of Multivariate Saddlepoint Approximations 0 0 0 12 0 4 9 43
The interplay between insurance, finance and control 0 0 0 36 0 1 5 89
Total Journal Articles 5 11 56 5,584 37 225 806 16,675

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 1 5 5
Ambit Processes and Stochastic Partial Differential Equations 0 0 0 0 0 1 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 0 1 2 2
Quantum Information 0 0 0 0 0 1 2 2
The Fascination of Sand 0 0 0 0 1 3 6 6
Time Change, Volatility, and Turbulence 0 0 0 0 0 2 5 5
Total Chapters 0 0 0 0 1 9 25 25

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