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 0 12 373
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 0 4 17 810
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 0 125 0 2 14 628
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 0 1 9 125
A feasible central limit theory for realised volatility under leverage 0 0 0 0 0 0 5 16
A feasible central limit theory for realised volatility under leverage 0 0 0 92 0 3 9 372
Ambit processes and stochastic partial differential equations 0 0 0 113 1 2 9 309
Assessing Gamma kernels and BSS/LSS processes 0 0 0 88 0 1 11 82
Assessing Relative Volatility/Intermittency/Energy Dissipation 0 0 0 15 0 2 11 56
Basics of Levy processes 0 0 0 59 0 0 12 202
Basics of Levy processes 0 0 1 108 3 3 20 271
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 1 11 115
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 2 2 4 92 3 5 41 368
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 1 3 137 3 6 46 579
Discrete-valued Levy processes and low latency financial econometrics 0 1 1 107 0 2 11 270
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 42 0 0 18 106
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 0 367 0 1 21 1,296
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 1 2 32 0 1 17 154
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 0 1 24 779
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 0 0 18 57
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 3 532 0 2 33 1,325
Econometrics of testing for jumps in financial economics using bipower variation 1 1 2 474 1 4 42 1,184
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 1 3 74 173
Econometrics of testing for jumps in financial economics using bipower variation 0 1 1 253 2 5 24 622
Estimating quadratic variation using realised volatility 0 0 0 329 1 1 18 1,004
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 0 1 19 1,140
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 1 1 8 692
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 0 3 20 186
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 0 2 2 0 0 16 20
Integrated OU Processes 0 0 1 316 1 3 17 783
Limit theorems for bipower variation in financial econometrics 0 0 0 95 2 3 11 324
Limit theorems for bipower variation in financial econometrics 0 0 0 186 1 2 23 569
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 1 3 17 135
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 0 2 12 41
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 0 1 8 210
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 0 1 14 402
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 25 364
Measuring downside risk — realised semivariance 0 0 1 169 1 7 36 413
Measuring downside risk-realised semivariance 1 1 3 351 3 8 48 1,288
Modelling and measuring volatility 0 0 0 259 0 1 8 382
Modelling and measuring volatility 0 0 0 20 0 0 11 51
Modelling electricity forward markets by ambit fields 0 0 0 108 0 2 16 267
Modelling energy spot prices by Lévy semistationary processes 0 0 1 118 1 3 27 208
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 1 2 3 22 1 4 16 93
Multipower Variation and Stochastic Volatility 0 0 0 0 0 0 11 32
Multipower Variation and Stochastic Volatility 0 1 1 73 0 2 12 284
Multipower Variation and Stochastic Volatility 0 0 0 116 1 1 14 312
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 0 1 11 140
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 1 1 72 2 7 27 285
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 49 2 2 18 226
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 21 446
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 1 3 24 408
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 2 47 246
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 5 340
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 0 1 16 506
Normal Modified Stable Processes 0 0 0 43 0 0 12 130
Normal modified stable processes 0 0 0 186 0 0 11 571
Power Variation and Time Change 0 0 0 168 0 0 13 487
Power and bipower variation with stochastic volatility and jumps 1 2 5 851 6 14 81 2,094
Power variation & stochastic volatility: a review and some new results 0 0 0 265 0 0 13 691
Power variation for Gaussian processes with stationary increments 0 0 0 83 0 1 10 243
Realised power variation and stochastic volatility models 0 0 0 346 1 1 16 794
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 0 17 457
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 2 2 14 379
Some recent developments in stochastic volatility modelling 0 0 0 397 1 1 11 823
Stochastic volatility of volatility in continuous time 0 0 1 195 0 1 9 393
Subsampling realised kernels 0 0 0 53 0 0 18 258
Subsampling realised kernels 0 0 0 76 2 3 19 356
Subsampling realised kernels 0 0 0 45 0 0 18 273
The multivariate supOU stochastic volatility model 0 0 0 58 1 2 7 139
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 296 1 4 25 844
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 0 0 17 447
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 1 2 12 1,021
Total Working Papers 7 14 42 11,548 52 153 1,438 33,842

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 0 7 34
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 0 0 0 52 1 1 7 156
Apparent scaling 0 0 0 122 0 1 13 464
Approximating exponential models 0 0 1 33 1 2 11 142
Book reviews 0 0 0 0 2 2 9 31
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 1 1 3 239 13 22 84 810
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 0 279 0 1 16 830
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 1 1 13 424 4 10 80 1,391
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 1 2 345 0 7 51 1,083
Estimating quadratic variation using realized variance 0 0 3 621 0 1 27 1,870
Exact Distributional Results for Random Resistance Trees 0 0 0 7 0 1 7 30
Feller processes of normal inverse Gaussian type 0 0 0 17 0 0 7 88
First hitting time models for the generalized inverse Gaussian distribution 0 0 1 44 1 2 18 130
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 1 3 23 289
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 1 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 0 2 12 161
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 1 3 18 73
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 1 1 7 173
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 1 3 131 2 5 33 472
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 1 366 0 1 24 778
On quantum statistical inference 0 0 0 26 1 1 14 117
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 1 3 14 85
On the parametrization of autoregressive models by partial autocorrelations 0 0 1 88 0 1 17 228
Power and Bipower Variation with Stochastic Volatility and Jumps 3 4 12 501 8 24 92 1,425
Power variation for Gaussian processes with stationary increments 0 0 0 10 0 0 13 71
Processes of normal inverse Gaussian type 2 6 11 1,447 2 9 29 3,415
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 0 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 4 35 628
Regularizing mappings of Lévy measures 0 0 0 0 0 0 8 19
Selfdecomposable Fields 0 0 0 0 1 1 8 10
Semigroups of Upsilon transformations 0 0 0 0 0 1 11 23
Some parametric models on the simplex 0 0 5 74 1 1 17 189
Some recent developments in stochastic volatility modelling 0 0 0 16 2 4 14 73
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 1 1 18 129
Subsampling realised kernels 0 0 0 52 1 3 20 238
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 8 14 63 5,598 46 124 873 16,799

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 0 1 3 3
Quantum Information 0 0 0 0 0 0 2 2
The Fascination of Sand 0 0 0 0 0 2 8 8
Time Change, Volatility, and Turbulence 0 0 0 0 0 0 5 5
Total Chapters 0 0 0 0 0 3 28 28

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