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Ole E. Barndorff-Nielsen

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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

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
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Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)

Works

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Working papers

  1. Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen, 2010. "Discrete-valued Levy processes and low latency financial econometrics," Economics Series Working Papers, University of Oxford, Department of Economics 490, University of Oxford, Department of Economics.
  2. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Ambit processes and stochastic partial differential equations," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-17, School of Economics and Management, University of Aarhus.
  3. Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010. "Integer-valued Lévy processes and low latency financial econometrics," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-66, School of Economics and Management, University of Aarhus.
  4. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Modelling electricity forward markets by ambit fields," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-41, School of Economics and Management, University of Aarhus.
  5. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Modelling energy spot prices by Lévy semistationary processes," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-18, School of Economics and Management, University of Aarhus.
  6. Ole Eiler Barndorff-Nielsen & Robert Stelzer, 2009. "The multivariate supOU stochastic volatility model," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-42, School of Economics and Management, University of Aarhus.
  7. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-25, School of Economics and Management, University of Aarhus.
  8. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-60, School of Economics and Management, University of Aarhus.
  9. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-21, School of Economics and Management, University of Aarhus.
  10. Ole E. Barndorff-Nielsen & Neil Shephard, 2008. "Modelling and measuring volatility," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe31, Oxford Financial Research Centre.
  11. Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers, University of Oxford, Department of Economics 397, University of Oxford, Department of Economics.
  12. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk — realised semivariance," CREATES Research Papers, School of Economics and Management, University of Aarhus 2008-42, School of Economics and Management, University of Aarhus.
  13. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers, School of Economics and Management, University of Aarhus 2007-42, School of Economics and Management, University of Aarhus.
  14. 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, Economics Group, Nuffield College, University of Oxford 2006-W03, Economics Group, Nuffield College, University of Oxford.
  15. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers, Economics Group, Nuffield College, University of Oxford 2006-W10, Economics Group, Nuffield College, University of Oxford.
  16. Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Papers, Economics Group, Nuffield College, University of Oxford 2005-W07, Economics Group, Nuffield College, University of Oxford.
  17. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford 2005-W06, Economics Group, Nuffield College, University of Oxford.
  18. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford 2005-W16, Economics Group, Nuffield College, University of Oxford.
  19. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe03, Oxford Financial Research Centre.
  20. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variation ," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe01, Oxford Financial Research Centre.
  21. Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford 2004-W30, Economics Group, Nuffield College, University of Oxford.
  22. 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, Oxford Financial Research Centre 2004fe21, Oxford Financial Research Centre.
  23. 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, Economics Group, Nuffield College, University of Oxford 2004-W28, Economics Group, Nuffield College, University of Oxford.
  24. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers, Economics Group, Nuffield College, University of Oxford 2003-W17, Economics Group, Nuffield College, University of Oxford.
  25. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers, Economics Group, Nuffield College, University of Oxford 2003-W12, Economics Group, Nuffield College, University of Oxford.
  26. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers, Economics Group, Nuffield College, University of Oxford 2003-W19, Economics Group, Nuffield College, University of Oxford.
  27. 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, Oxford Financial Research Centre 2002fe03, Oxford Financial Research Centre.
  28. 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, Economics Group, Nuffield College, University of Oxford 2002-W21, Economics Group, Nuffield College, University of Oxford.
  29. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Power Variation and Time Change," Economics Papers, Economics Group, Nuffield College, University of Oxford 2002-W24, Economics Group, Nuffield College, University of Oxford.
  30. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "How accurate is the asymptotic approximation to the distribution of realised volatility?," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W16, Economics Group, Nuffield College, University of Oxford.
  31. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W1, Economics Group, Nuffield College, University of Oxford.
  32. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
  33. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W18, Economics Group, Nuffield College, University of Oxford.
  34. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W6, Economics Group, Nuffield College, University of Oxford.
  35. Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W25, Economics Group, Nuffield College, University of Oxford.
  36. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Higher order variation and stochastic volatility models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W8, Economics Group, Nuffield College, University of Oxford.
  37. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
  38. 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, Economics Group, Nuffield College, University of Oxford 1999-w9/2000-w3, Economics Group, Nuffield College, University of Oxford.
  39. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series, Oxford Financial Research Centre 2000mf01, Oxford Financial Research Centre.

Articles

  1. O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009. "Realized kernels in practice: trades and quotes," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(3), pages C1-C32, November.
  2. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, Econometric Society, vol. 76(6), pages 1481-1536, November.
  3. Ole E. Barndorff-Nielsen, 2007. "Random Graph Dynamics by Rick Durrett," International Statistical Review, International Statistical Institute, International Statistical Institute, vol. 75(3), pages 428-428, December.
  4. 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;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(2), pages 298-316.
  5. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 179-181, April.
  6. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Society for Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.
  7. 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, Elsevier, vol. 131(1-2), pages 217-252.
  8. Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006. "Limit Theorems For Bipower Variation In Financial Econometrics," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 22(04), pages 677-719, August.
  9. 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;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 617-637.
  10. 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, Econometric Society, vol. 72(3), pages 885-925, 05.
  11. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Society for Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.
  12. 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;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(2), pages 277-295.
  13. 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, Royal Statistical Society, vol. 65(4), pages 775-804.
  14. 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, Royal Statistical Society, vol. 64(2), pages 253-280.
  15. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
  16. Ole E. Barndorff-Nielsen & Karsten Prause, 2001. "Apparent scaling," Finance and Stochastics, Springer, Springer, vol. 5(1), pages 103-113.
  17. 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, Royal Statistical Society, vol. 63(2), pages 167-241.
  18. 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;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(1), pages 129-141.
  19. 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;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(2), pages 253-264.
  20. Asmussen, Soren & Barndorff-Nielsen, Ole. E., 1998. "The interplay between insurance, finance and control," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 22(1), pages 1-1, May.
  21. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, Springer, vol. 2(1), pages 41-68.
  22. G. Ronning & C. Heyde & O. Aalen & P. Huber & P. Loeb & D. Burkholder & Kh. Alam & O. Barndorff-Nielsen & P. Kloeden, 1997. "Book reviews," Metrika, Springer, Springer, vol. 45(1), pages 84-93, January.
  23. O. Barndorff-Nielsen, 1995. "Quasi profile and directed likelihoods from estimating functions," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 47(3), pages 461-464, September.
  24. Barndorff-Nielsen, O. E. & Jørgensen, B., 1991. "Some parametric models on the simplex," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 39(1), pages 106-116, October.
  25. Barndorff-Nielsen, O. E. & Sorensen, M., 1991. "Information quantities in non-classical settings," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 12(2), pages 143-158, September.
  26. O. Barndorff-Nielsen & P. Jupp, 1989. "Approximating exponential models," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 41(2), pages 247-267, June.
  27. Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 3(4), pages 408-419, December.

NEP Fields

56 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-12-01
  2. NEP-CMP: Computational Economics (1) 2004-02-01
  3. NEP-ECM: Econometrics (43) 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 2006-06-17 2006-08-26 2006-09-16 2008-06-27 2008-06-27 2008-07-20 2008-11-11 2008-12-01 2009-01-03 2009-04-18 2009-06-03 2009-06-03 2009-10-10 2010-05-08 2010-09-25 2010-10-09. Author is listed
  4. NEP-ENE: Energy Economics (2) 2010-05-08 2010-09-03
  5. NEP-ETS: Econometric Time Series (36) 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 2009-01-03 2009-04-18 2009-06-03 2009-06-03 2009-10-10 2010-01-16 2010-10-09. Author is listed
  6. NEP-FMK: Financial Markets (6) 2001-09-10 2004-02-01 2006-04-01 2006-06-17 2006-08-26 2008-02-16. Author is listed
  7. NEP-IFN: International Finance (3) 2001-12-04 2004-01-18 2004-01-25
  8. NEP-MIC: Microeconomics (1) 2010-05-08
  9. NEP-MST: Market Microstructure (12) 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 2009-06-03 2010-10-09. Author is listed
  10. NEP-ORE: Operations Research (4) 2008-12-01 2009-06-03 2010-05-08 2010-05-08
  11. 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

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors
  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h-index
  20. Number of Journal Pages, Weighted by Simple Impact Factor
  21. Number of Journal Pages, Weighted by Recursive Impact Factor
  22. Wu-Index

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