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Information about:
Ole E. Barndorff-Nielsen

Personal Details | Affiliation | Works
This is information that was supplied by Ole Barndorff-Nielsen in registering through RePEc. If you are Ole E. Barndorff-Nielsen , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Ole
Middle Name: E.
Last Name: Barndorff-Nielsen
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RePEc Short-ID: pba592

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Homepage: http://www.creates.au.dk/en/people/researchfellows/olebarndorff-nielsen
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Citations
  3. Number of Citations, Discounted by Citation Age
  4. Number of Citations, Weighted by Simple Impact Factor
  5. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Recursive Impact Factor
  7. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors
  9. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  14. h, where author has written h papers that have each been cited at least h times.
  15. Number of Downloads through RePEc Services over the past 12 months
  16. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  17. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk — realised semivariance," CREATES Research Papers 2008-42, School of Economics and Management, University of Aarhus. [Downloadable!]
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  2. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics. [Downloadable!]
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  3. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, School of Economics and Management, University of Aarhus. [Downloadable!]
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  4. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  5. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  6. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  7. Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  8. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  9. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variation ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre. [Downloadable!]
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  10. Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  11. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  12. Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre. [Downloadable!]
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  13. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre. [Downloadable!]
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  14. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  15. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  16. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Published as:

  17. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Power Variation and Time Change," Economics Papers 2002-W24, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  18. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  19. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," OFRC Working Papers Series 2002fe03, Oxford Financial Research Centre. [Downloadable!]
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  20. Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  21. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  22. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Higher order variation and stochastic volatility models," Economics Papers 2001-W8, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  23. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  24. Neil Shephard & Ole Barndorff-Nielsen, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 071, University of Oxford, Department of Economics. [Downloadable!]
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  25. Neil Shephard & Ole E. Barndorff-Nielsen, 2001. "Normal Modified Stable Processes," Economics Series Working Papers 072, University of Oxford, Department of Economics. [Downloadable!]
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  26. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "How accurate is the asymptotic approximation to the distribution of realised volatility?," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  27. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001. [Downloadable!]

  28. Barndorff-Nielsen, O.E. & Shepard, N., 2000. "Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics," Economics Papers 1999-w9/2000-w3, Economics Group, Nuffield College, University of Oxford.

  29. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre. [Downloadable!]

Articles

  1. Ole E. Barndorff-Nielsen, 2007. "Random Graph Dynamics by Rick Durrett," International Statistical Review, International Statistical Institute, vol. 75(3), pages 428-428, December. [Downloadable!] (restricted)

  2. Ole E. Barndorff-Nielsen & Alexander M. Lindner, 2007. "Lévy Copulas: Dynamics and Transforms of Upsilon Type," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 34(2), pages 298-316. [Downloadable!] (restricted)

  3. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30. [Downloadable!] (restricted)
    Other versions:

  4. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252. [Downloadable!] (restricted)
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  5. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 179-181, April. [Downloadable!] (restricted)

  6. Ole Eiler Barndorff-Nielsen & Robert Stelzer, 2005. "Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 32(4), pages 617-637. [Downloadable!] (restricted)

  7. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics," Econometrica, Econometric Society, vol. 72(3), pages 885-925, 05. [Downloadable!] (restricted)

  8. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37. [Downloadable!] (restricted)
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  9. Ole E. Barndorff-Nielsen & Richard D. Gill & Peter E. Jupp, 2003. "On quantum statistical inference," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 775-804. [Downloadable!] (restricted)

  10. Ole E. Barndorff-Nielsen, 2003. "Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 30(2), pages 277-295. [Downloadable!] (restricted)

  11. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477. [Downloadable!]

  12. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280. [Downloadable!] (restricted)
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  13. Ole E. Barndorff-Nielsen & Karsten Prause, 2001. "Apparent scaling," Finance and Stochastics, Springer, vol. 5(1), pages 103-113. [Downloadable!] (restricted)

  14. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241. [Downloadable!] (restricted)

  15. Ole E. Barndorff-Nielsen, 2000. "Exact Distributional Results for Random Resistance Trees," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 27(1), pages 129-141. [Downloadable!] (restricted)

  16. O. E. Barndorff-Nielsen, 1999. "Tail Exactness of Multivariate Saddlepoint Approximations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 26(2), pages 253-264. [Downloadable!] (restricted)

  17. Asmussen, Soren & Barndorff-Nielsen, Ole. E., 1998. "The interplay between insurance, finance and control," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 1-1, May. [Downloadable!] (restricted)

  18. G. Ronning & C. Heyde & O. Aalen & P. Huber & P. Loeb & D. Burkholder & Kh. Alam & O. Barndorff-Nielsen & P. Kloeden, 1997. "Book reviews," Metrika, Springer, vol. 45(1), pages 84-93, January. [Downloadable!] (restricted)

  19. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68. [Downloadable!] (restricted)

  20. O. Barndorff-Nielsen, 1995. "Quasi profile and directed likelihoods from estimating functions," Annals of the Institute of Statistical Mathematics, Springer, vol. 47(3), pages 461-464, September. [Downloadable!] (restricted)

  21. Barndorff-Nielsen, O. E. & Sorensen, M., 1991. "Information quantities in non-classical settings," Computational Statistics & Data Analysis, Elsevier, vol. 12(2), pages 143-158, September. [Downloadable!] (restricted)

  22. O. Barndorff-Nielsen & P. Jupp, 1989. "Approximating exponential models," Annals of the Institute of Statistical Mathematics, Springer, vol. 41(2), pages 247-267, June. [Downloadable!] (restricted)

NEP Fields

45 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2004-02-01
  2. NEP-ECM: Econometrics (35) 2001-08-15 2001-09-10 2001-10-16 2001-10-16 2001-10-16 2001-12-04 2001-12-19 2002-05-03 2003-04-13 2003-06-09 2004-01-25 2004-01-25 2004-01-25 2004-01-25 2004-02-01 2004-03-03 2004-12-12 2004-12-12 2004-12-20 2004-12-20 2004-12-20 2005-07-03 2005-07-03 2005-07-03 2006-03-18 2006-03-18 2006-03-18 2006-06-10 2006-06-17 2006-08-26 2006-09-16 2008-06-27 2008-06-27 2008-07-20 2008-11-11 Author is listed
  3. NEP-ETS: Econometric Time Series (29) 2001-08-15 2001-09-10 2001-09-10 2001-10-16 2001-10-16 2001-10-16 2001-12-19 2002-05-03 2003-04-13 2003-06-04 2004-01-18 2004-01-18 2004-01-18 2004-01-25 2004-02-01 2004-02-29 2004-12-12 2004-12-20 2004-12-20 2005-07-03 2006-03-18 2006-03-18 2006-03-18 2006-04-01 2006-09-16 2006-10-14 2008-06-27 2008-06-27 2008-07-20 Author is listed
  4. NEP-FIN: Finance (11) 2001-10-16 2004-01-18 2004-01-18 2004-01-18 2004-01-25 2004-02-01 2004-02-29 2004-12-12 2004-12-15 2004-12-20 2004-12-22 Author is listed
  5. NEP-FMK: Financial Markets (7) 2001-09-10 2004-02-01 2006-04-01 2006-06-10 2006-06-17 2006-08-26 2008-02-16 Author is listed
  6. NEP-IFN: International Finance (3) 2001-12-04 2004-01-18 2004-01-25
  7. NEP-MST: Market Microstructure (10) 2006-06-17 2006-08-26 2006-09-16 2006-09-23 2006-10-14 2008-02-02 2008-02-16 2008-03-25 2008-06-27 2008-09-05 Author is listed
  8. NEP-RMG: Risk Management (9) 2003-04-13 2004-01-18 2004-02-01 2005-07-03 2006-04-01 2008-02-02 2008-02-16 2008-03-25 2008-09-05 Author is listed
Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 210000 papers.

This page was last updated on 2009-11-21.

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