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 2 10 370
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 2 7 16 806
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 1 125 2 4 13 626
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 1 2 8 124
A feasible central limit theory for realised volatility under leverage 0 0 0 0 1 2 5 16
A feasible central limit theory for realised volatility under leverage 0 0 1 92 1 3 7 369
Ambit processes and stochastic partial differential equations 0 0 0 113 1 2 9 306
Assessing Gamma kernels and BSS/LSS processes 0 0 0 88 2 2 7 78
Assessing Relative Volatility/Intermittency/Energy Dissipation 0 0 0 15 5 6 9 54
Basics of Levy processes 0 1 2 108 2 4 16 265
Basics of Levy processes 0 0 0 59 4 5 14 201
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 3 4 10 113
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 1 3 136 14 19 44 570
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 2 90 12 16 34 358
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 42 1 4 18 105
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 1 5 8 267
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 1 367 7 13 21 1,294
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 1 31 2 4 18 153
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 0 1 8 19 55
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 9 11 22 775
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 1 3 532 15 20 34 1,323
Econometrics of testing for jumps in financial economics using bipower variation 0 0 3 473 11 12 35 1,174
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 1 9 13 73 169
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 7 7 18 615
Estimating quadratic variation using realised volatility 0 0 1 329 4 8 16 1,001
Higher order variation and stochastic volatility models 0 0 0 95 2 5 14 298
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 0 398 6 10 21 1,138
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 0 4 7 691
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 2 9 14 180
Integer-valued trawl processes: A class of stationary infinitely divisible processes 0 0 0 0 0 2 13 17
Integrated OU Processes 0 1 1 316 3 6 15 778
Limit theorems for bipower variation in financial econometrics 0 0 0 95 2 2 7 320
Limit theorems for bipower variation in financial econometrics 0 0 0 186 3 4 24 565
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 3 5 13 131
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 1 1 5 207
Limit theorems for multipower variation in the presence of jumps 0 0 0 0 0 2 9 38
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 1 3 13 400
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 1 2 10 972
Measuring downside risk - realised semivariance 0 1 1 113 2 10 17 355
Measuring downside risk — realised semivariance 0 1 1 169 9 13 24 398
Measuring downside risk-realised semivariance 0 1 2 350 6 13 38 1,276
Modelling and measuring volatility 0 0 0 259 1 4 11 381
Modelling and measuring volatility 0 0 1 20 2 2 6 45
Modelling electricity forward markets by ambit fields 0 0 0 108 2 5 15 265
Modelling energy spot prices by Lévy semistationary processes 0 0 2 118 6 9 25 205
Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes 0 0 0 19 2 2 12 88
Multipower Variation and Stochastic Volatility 0 0 0 0 3 4 10 31
Multipower Variation and Stochastic Volatility 0 0 0 116 2 8 12 310
Multipower Variation and Stochastic Volatility 0 0 0 72 1 2 10 281
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 1 2 7 136
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 71 5 12 20 277
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 10 3 3 9 103
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 5 7 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 90 2 5 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 6 8 18 442
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 1 4 17 224
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 7 339
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 1 5 14 503
Normal Modified Stable Processes 0 0 1 43 3 4 16 130
Normal modified stable processes 0 0 0 186 3 5 13 570
Power Variation and Time Change 0 0 0 168 6 7 13 487
Power and bipower variation with stochastic volatility and jumps 0 0 1 847 16 17 59 2,068
Power variation & stochastic volatility: a review and some new results 0 0 0 265 3 5 11 689
Power variation for Gaussian processes with stationary increments 0 0 0 83 4 4 8 241
Realised power variation and stochastic volatility models 0 0 0 346 3 8 15 792
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 9 11 18 456
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 5 7 12 376
Some recent developments in stochastic volatility modelling 0 0 0 397 2 6 10 821
Stochastic volatility of volatility in continuous time 0 0 0 194 4 4 8 391
Subsampling realised kernels 0 0 0 45 3 5 18 272
Subsampling realised kernels 0 0 1 76 1 2 18 353
Subsampling realised kernels 0 0 0 53 5 6 17 257
The multivariate supOU stochastic volatility model 0 0 0 58 1 3 4 136
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 0 2 11 1,018
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 2 9 16 446
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 295 3 8 21 838
Total Working Papers 1 8 33 11,526 276 471 1,280 33,571

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 4 7 33
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes 0 0 0 52 1 1 6 153
Apparent scaling 0 0 0 122 3 4 12 462
Approximating exponential models 0 0 1 33 2 5 9 140
Book reviews 0 0 0 0 1 3 7 29
Comment 0 0 0 8 2 4 14 77
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 1 3 238 14 23 58 779
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 1 279 3 6 20 828
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 3 17 420 17 30 77 1,366
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 1 1 344 14 24 42 1,072
Estimating quadratic variation using realized variance 1 1 2 620 4 9 26 1,868
Exact Distributional Results for Random Resistance Trees 0 0 0 7 0 1 5 28
Feller processes of normal inverse Gaussian type 0 0 0 17 1 2 6 87
First hitting time models for the generalized inverse Gaussian distribution 1 1 1 44 4 7 15 127
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 4 7 17 283
Infinite Divisibility for Stochastic Processes and Time Change 0 0 0 0 3 3 4 6
Information quantities in non-classical settings 0 0 0 10 1 3 8 39
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 2 5 13 95
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 1 4 11 33
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 2 4 12 159
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 1 2 7 311
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 2 5 15 68
Lévy Copulas: Dynamics and Transforms of Upsilon Type 0 0 0 52 1 2 6 171
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 4 129 2 4 32 464
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 2 366 2 5 25 775
On quantum statistical inference 0 0 0 26 3 5 13 116
On stochastic integration for volatility modulated Lévy-driven Volterra processes 0 0 0 4 1 2 15 82
On the parametrization of autoregressive models by partial autocorrelations 0 0 3 88 1 1 18 225
Power and Bipower Variation with Stochastic Volatility and Jumps 0 2 6 495 10 21 68 1,387
Power variation for Gaussian processes with stationary increments 0 0 0 10 3 4 12 70
Processes of normal inverse Gaussian type 0 2 5 1,440 1 5 19 3,404
Quasi profile and directed likelihoods from estimating functions 0 0 0 7 5 5 8 35
Random Graph Dynamics by Rick Durrett 0 0 0 118 1 1 5 358
Realized kernels in practice: trades and quotes 0 0 0 171 3 9 29 619
Regularizing mappings of Lévy measures 0 0 0 0 0 4 7 18
Selfdecomposable Fields 0 0 0 0 3 3 8 9
Semigroups of Upsilon transformations 0 0 0 0 1 2 9 21
Some parametric models on the simplex 0 2 7 74 0 6 18 185
Some recent developments in stochastic volatility modelling 0 0 0 16 2 2 10 68
Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes 1 1 4 5 2 3 10 16
Stationary and self-similar processes driven by Lévy processes 0 0 0 9 3 6 8 32
Stochastic Volatility of Volatility and Variance Risk Premia 0 0 2 42 3 7 18 127
Subsampling realised kernels 0 0 0 52 5 7 15 233
Tail Exactness of Multivariate Saddlepoint Approximations 0 0 0 12 2 3 7 41
The interplay between insurance, finance and control 0 0 0 36 1 1 6 89
Total Journal Articles 3 14 60 5,576 138 264 757 16,588

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 1 1 5 5
Ambit Processes and Stochastic Partial Differential Equations 0 0 0 0 1 1 3 3
Modelling by Lévy Processess for Financial Econometrics 0 0 0 0 0 1 2 2
Multipower Variation and Stochastic Volatility 0 0 0 0 1 1 2 2
Quantum Information 0 0 0 0 1 2 2 2
The Fascination of Sand 0 0 0 0 2 2 5 5
Time Change, Volatility, and Turbulence 0 0 0 0 2 3 5 5
Total Chapters 0 0 0 0 8 11 24 24

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