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 0 93 0 0 1 360
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 270 0 0 2 786
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 0 124 0 0 0 612
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 1 2 29 0 1 4 114
A feasible central limit theory for realised volatility under leverage 0 0 0 0 0 0 0 11
A feasible central limit theory for realised volatility under leverage 0 0 0 91 0 0 0 361
Ambit processes and stochastic partial differential equations 2 2 2 112 2 2 3 289
Assessing Gamma kernels and BSS/LSS processes 0 0 1 87 0 0 1 67
Assessing Relative Volatility/Intermittency/Energy Dissipation 0 0 0 15 0 0 0 42
Basics of Levy processes 0 0 0 105 0 0 1 248
Basics of Levy processes 1 1 8 55 1 1 24 167
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 0 1 102
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 132 1 1 6 521
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 85 0 0 3 315
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 0 1 2 254
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 40 0 0 0 84
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 0 366 1 1 1 1,270
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 4 29 0 0 7 129
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 2 2 2 752
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 0 0 4 31
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 3 527 1 2 30 1,284
Econometrics of testing for jumps in financial economics using bipower variation 1 1 1 469 1 2 7 1,134
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 0 1 7 91
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 0 1 8 595
Estimating quadratic variation using realised volatility 0 0 0 327 1 1 2 984
Higher order variation and stochastic volatility models 0 0 1 95 0 1 2 284
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 4 395 0 1 6 1,111
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 1 1 11 683
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 77 0 1 3 163
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 0 0 0 0 0 1 1
Integrated OU Processes 0 0 0 314 0 1 3 762
Limit theorems for bipower variation in financial econometrics 0 0 1 185 0 0 3 538
Limit theorems for bipower variation in financial econometrics 0 0 0 95 0 0 4 311
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 0 0 0 116
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 0 0 0 386
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 0 0 1 200
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 0 0 4 27
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 197 0 0 19 960
Measuring downside risk - realised semivariance 1 1 1 110 3 3 7 318
Measuring downside risk — realised semivariance 0 1 8 165 0 2 22 362
Measuring downside risk-realised semivariance 0 4 10 345 1 5 26 1,227
Modelling and measuring volatility 0 3 10 255 0 3 14 362
Modelling and measuring volatility 0 1 2 18 0 2 3 36
Modelling electricity forward markets by ambit fields 0 0 1 108 0 0 2 249
Modelling energy spot prices by Lévy semistationary processes 1 1 1 116 1 1 2 176
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 0 0 1 17 0 0 3 67
Multipower Variation and Stochastic Volatility 0 0 0 72 0 1 2 270
Multipower Variation and Stochastic Volatility 0 0 0 116 0 0 0 296
Multipower Variation and Stochastic Volatility 0 0 0 0 1 1 2 20
Multipower Variation for Brownian Semistationary Processes 0 0 0 35 0 0 2 125
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 70 0 0 25 253
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 1 9 0 1 8 90
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 0 0 13 421
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 1 90 0 1 11 380
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 0 25 195
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 1 206
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 1 2 328
Non-Gaussian OU based models and some of their uses in financial economics 0 0 1 219 0 0 1 484
Normal Modified Stable Processes 1 2 7 34 2 7 20 98
Normal modified stable processes 0 0 1 183 1 1 4 552
Power Variation and Time Change 0 0 0 167 0 0 0 472
Power and bipower variation with stochastic volatility and jumps 1 1 4 842 3 6 30 1,996
Power variation & stochastic volatility: a review and some new results 0 0 0 262 1 1 1 674
Power variation for Gaussian processes with stationary increments 0 0 0 83 0 0 2 232
Realised power variation and stochastic volatility models 0 0 2 345 2 3 11 775
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 1 4 116 1 3 9 431
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 0 4 362
Some recent developments in stochastic volatility modelling 0 0 2 394 2 2 5 804
Stochastic volatility of volatility in continuous time 1 1 4 194 2 2 6 377
Subsampling realised kernels 0 0 0 45 0 0 4 254
Subsampling realised kernels 0 0 0 53 0 0 3 239
Subsampling realised kernels 0 0 0 75 0 0 4 333
The multivariate supOU stochastic volatility model 0 0 0 58 0 0 2 130
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 6 398 1 1 9 987
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 294 0 0 10 809
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 0 0 0 427
Total Working Papers 9 23 97 11,423 33 68 468 31,962


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 0 25
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 0 0 1 50 1 1 2 143
Apparent scaling 0 0 1 122 0 0 2 447
Approximating exponential models 0 0 0 32 0 0 0 130
Book reviews 0 0 0 0 0 0 0 22
Comment 0 0 0 8 0 0 0 63
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 2 4 235 1 7 19 715
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 0 278 0 2 7 804
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 5 10 24 388 15 23 65 1,213
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2 3 6 338 2 7 52 1,002
Estimating quadratic variation using realized variance 0 0 1 616 1 3 6 1,833
Exact Distributional Results for Random Resistance Trees 0 0 0 7 0 0 0 23
Feller processes of normal inverse Gaussian type 0 0 1 17 0 0 4 80
First hitting time models for the generalized inverse Gaussian distribution 0 0 0 41 0 0 0 104
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 2 71 0 1 12 260
Infinite Divisibility for Stochastic Processes and Time Change 0 0 0 0 0 0 0 0
Information quantities in non-classical settings 0 0 0 10 0 0 0 29
Integer-valued L�vy processes and low latency financial econometrics 0 1 2 27 0 2 4 79
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 4 0 0 0 20
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 0 1 1 147
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 51 0 0 8 299
Limit theorems for multipower variation in the presence of jumps 0 0 0 5 0 0 0 48
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 0 0 0 165
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 6 122 2 3 32 413
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 2 360 1 2 9 740
On quantum statistical inference 0 0 0 26 0 0 1 100
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 1 5 20 60
On the parametrization of autoregressive models by partial autocorrelations 0 1 4 82 1 4 8 198
Power and Bipower Variation with Stochastic Volatility and Jumps 3 6 24 464 8 14 68 1,251
Power variation for Gaussian processes with stationary increments 0 0 0 9 0 0 2 54
Processes of normal inverse Gaussian type 0 0 12 1,422 3 5 23 3,362
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 0 0 0 25
Random Graph Dynamics by Rick Durrett 0 0 0 115 0 0 0 350
Realized kernels in practice: trades and quotes 0 0 0 171 1 7 17 574
Regularizing mappings of Lévy measures 0 0 0 0 0 0 0 10
Selfdecomposable Fields 0 0 0 0 0 0 0 0
Semigroups of Upsilon transformations 0 0 0 0 0 1 1 11
Some parametric models on the simplex 0 0 3 64 0 0 5 155
Some recent developments in stochastic volatility modelling 0 0 0 14 1 1 2 52
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes 0 1 1 1 0 1 1 3
Stationary and self-similar processes driven by Lévy processes 0 0 1 9 0 0 1 21
Stochastic Volatility of Volatility and Variance Risk Premia 0 0 1 37 0 0 2 104
Subsampling realised kernels 0 0 1 52 0 0 7 217
Tail Exactness of Multivariate Saddlepoint Approximations 0 0 0 12 0 0 1 33
The interplay between insurance, finance and control 0 0 2 36 0 0 2 83
Total Journal Articles 10 24 99 5,421 38 90 384 15,467


Statistics updated 2024-02-04