# Ole E. Barndorff-Nielsen

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## Personal Details

First Name: | Ole |

Middle Name: | E. |

Last Name: | Barndorff-Nielsen |

Suffix: | |

RePEc Short-ID: | pba592 |

Email: | |

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

Postal Address: | |

Phone: |

Location: Aarhus, Denmark

Homepage: http://www.creates.au.dk/

Email:

Phone:

Fax:

Postal: Building 1322, DK-8000 Aarhus C

Handle: RePEc:edi:creaudk (more details at EDIRC)

Homepage: http://www.creates.au.dk/

Email:

Phone:

Fax:

Postal: Building 1322, DK-8000 Aarhus C

Handle: RePEc:edi:creaudk (more details at EDIRC)

- Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010.
"
**Ambit processes and stochastic partial differential equations**," CREATES Research Papers 2010-17, School of Economics and Management, University of Aarhus. - Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010.
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**Modelling energy spot prices by Lévy semistationary processes**," CREATES Research Papers 2010-18, School of Economics and Management, University of Aarhus. - Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
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**Integer-valued Lévy processes and low latency financial econometrics**," CREATES Research Papers 2010-66, School of Economics and Management, University of Aarhus.- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012.
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**Integer-valued Lévy processes and low latency financial econometrics**," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.

- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012.
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- Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010.
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**Modelling electricity forward markets by ambit fields**," CREATES Research Papers 2010-41, School of Economics and Management, University of Aarhus. - Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen, 2010.
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**Discrete-valued Levy processes and low latency financial econometrics**," Economics Series Working Papers 490, University of Oxford, Department of Economics.- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
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**Discrete-valued Levy processes and low latency financial econometrics**," Economics Papers 2010-W04, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
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- Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009.
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**Stochastic volatility of volatility in continuous time**," CREATES Research Papers 2009-25, School of Economics and Management, University of Aarhus. - Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009.
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**Limit theorems for functionals of higher order differences of Brownian semi-stationary processes**," CREATES Research Papers 2009-60, School of Economics and Management, University of Aarhus. - Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009.
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**Multipower Variation for Brownian Semistationary Processes**," CREATES Research Papers 2009-21, School of Economics and Management, University of Aarhus. - Ole Eiler Barndorff-Nielsen & Robert Stelzer, 2009.
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**The multivariate supOU stochastic volatility model**," CREATES Research Papers 2009-42, School of Economics and Management, University of Aarhus. - Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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**Measuring downside risk — realised semivariance**," CREATES Research Papers 2008-42, School of Economics and Management, University of Aarhus.- Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008.
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**Measuring downside risk - realised semivariance**," Economics Series Working Papers 382, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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**Measuring downside risk - realised semivariance**," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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**Measuring downside risk-realised semivariance**," Economics Papers 2008-W02, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008.
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- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008.
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**Multivariate realised kernels: consistent positive semi-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.- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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**Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
**Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
**Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
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- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011.
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**Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Post-Print hal-00815564, HAL. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009.
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**Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading**," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.

- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2008.
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**Modelling and measuring volatility**," OFRC Working Papers Series 2008fe31, Oxford Financial Research Centre.- Neil Shephard & Ole E. Barndorff-Nielsen, 2008.
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**Modelling and measuring volatility**," Economics Series Working Papers 2008--FE-31, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2008.
"
- 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.- Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009.
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**Power variation for Gaussian processes with stationary increments**," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1845-1865, June.

- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner, 2008.
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**Bipower variation for Gaussian processes with stationary increments**," CREATES Research Papers 2008-21, School of Economics and Management, University of Aarhus.

- Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009.
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- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
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**Subsampling realised kernels**," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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**Subsampling realised kernels**," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
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**Subsampling realised kernels**," Economics Series Working Papers 278, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
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**Subsampling realised kernels**," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.

- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"
- 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.- 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, vol. 76(6), pages 1481-1536, November.

- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise**," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre. - Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"
**Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise**," Economics Series Working Papers 2006-W03, University of Oxford, Department of Economics.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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**Variation, jumps, market frictions and high frequency data in financial econometrics**," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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**Variation, jumps, market frictions and high frequency data in financial econometrics**," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. - Neil Shephard & Ole E. Barndorff-Nielsen, 2005.
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**Variation, jumps, market frictions and high frequency data in financial econometrics**," Economics Series Working Papers 240, University of Oxford, Department of Economics.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
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**Limit theorems for multipower variation in the presence of jumps**," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford.- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
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**Limit theorems for multipower variation in the presence of jumps**," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 796-806, May.

- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
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**Limit theorems for multipower variation in the presence of jumps**," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre. - Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen, 2005.
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**Limit theorems for multipower variation in the presence of jumps**," Economics Series Working Papers 2005-FE-06, University of Oxford, Department of Economics.

- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
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- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
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**Limit theorems for bipower variation in financial econometrics**," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
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**Limit Theorems For Bipower Variation In Financial Econometrics**," Econometric Theory, Cambridge University Press, vol. 22(04), pages 677-719, August.

- Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.

- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**Econometrics of testing for jumps in financial economics using bipower variationÂ**," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
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**Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.

- Neil Shephard & Ole Barndorff-Nielsen, 2003.
"
**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
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**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
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- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
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**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.- Neil Shephard, 2004.
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**Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise**," Economics Series Working Papers 2004-FE-20, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
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**Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise**," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre.

- Neil Shephard, 2004.
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- Ole Barndorff-Nielsen & Neil Shephard, 2004.
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**Multipower Variation and Stochastic Volatility**," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**Multipower Variation and Stochastic Volatility**," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre. - Neil Shephard & Ole E. Barndorff-Nielsen, 2004.
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**Multipower Variation and Stochastic Volatility**," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**A feasible central limit theory for realised volatility under leverage**," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre.- Neil Shephard & Ole Barndorff-Nielsen, 2003.
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**A feasible central limit theory for realised volatility under leverage**," Economics Series Working Papers 2004-FE-03, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**A Feasible Central Limit Theory for Realised Volatility Under Leverage**," Economics Papers 2004-W03, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard & Ole Barndorff-Nielsen, 2003.
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- Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004.
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**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre.- Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004.
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**A central limit theorem for realised power and bipower variations of continuous semimartingales**," Technical Reports 2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen. - Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004.
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**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford. - Neil Shephard, 2004.
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**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," Economics Series Working Papers 2004-FE-21, University of Oxford, Department of Economics.

- Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004.
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- Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003.
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**Power variation & stochastic volatility: a review and some new results**," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
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**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.- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
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**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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
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**Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes**," Economics Series Working Papers 2003-W12, University of Oxford, Department of Economics.

- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
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**Power and bipower variation with stochastic volatility and jumps**," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen, 2004.
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**Power and Bipower Variation with Stochastic Volatility and Jumps**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
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**Power and bipower variation with stochastic volatility and jumps**," Economics Series Working Papers 2003-W18, University of Oxford, Department of Economics.

- Ole E. Barndorff-Nielsen, 2004.
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- Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002.
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**Measuring and forecasting financial variability using realised variance with and without a model**," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.- Carla Ysusi & Bent Nielsen, 2002.
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**Measuring and forecasting financial variability using realised variance with and without a model**," Economics Series Working Papers 2002-W21, University of Oxford, Department of Economics.

- Carla Ysusi & Bent Nielsen, 2002.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
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**Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics**," OFRC Working Papers Series 2002fe03, Oxford Financial Research Centre.- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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**Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics**," Economics Series Working Papers 2002-FE-03, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics**," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
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**Power Variation and Time Change**," Economics Papers 2002-W24, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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**Power Variation and Time Change**," Economics Series Working Papers 2002-W24, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**Higher order variation and stochastic volatility models**," Economics Papers 2001-W8, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
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**Higher order variation and stochastic volatility models**," Economics Series Working Papers 2001-W08, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**Normal modified stable processes**," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**How accurate is the asymptotic approximation to the distribution of realised volatility?**," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**Integrated OU Processes**," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**Estimating quadratic variation using realised volatility**," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**Realised power variation and stochastic volatility models**," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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**Realised power variation and stochastic volatility models**," Economics Series Working Papers 2001-W18, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001.
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**Some recent developments in stochastic volatility modelling**," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
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**Some recent developments in stochastic volatility modelling**," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
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**Some recent developments in stochastic volatility modelling**," Economics Series Working Papers 2001-W25, University of Oxford, Department of Economics.

- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
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**Econometric analysis of realised volatility and its use in estimating stochastic volatility models**," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.- Ole E. Barndorff-Nielsen & Shephard, 2002.
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**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.

- Ole E. Barndorff-Nielsen & Shephard, 2002.
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- Barndorff-Nielsen, O.E. & Shepard, N., 2000.
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**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. - Ole Barndorff-Nielsen & Neil Shephard, 2000.
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**Non-Gaussian OU based models and some of their uses in financial economics**," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre.- Neil Shephard & Ole E. Barndorff-Nielsen, 1999.
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**Non-Gaussian OU Based Models and some of their use in Financial Economics**," Economics Series Working Papers 1999-W09, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 1999.
"

- O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009.
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**Realized kernels in practice: trades and quotes**," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C1-C32, November. - 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, vol. 76(6), pages 1481-1536, November.- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006.
"

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
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- Ole E. Barndorff-Nielsen, 2007.
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**Random Graph Dynamics by Rick Durrett**," International Statistical Review, International Statistical Institute, vol. 75(3), pages 428-428, December. - Ole E. Barndorff-Nielsen & Alexander M. Lindner, 2007.
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**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, vol. 34(2), pages 298-316. - Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
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**Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 179-181, April. - Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"

- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
"
- 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, vol. 4(1), pages 1-30.- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
**Econometrics of testing for jumps in financial economics using bipower variationÂ**," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre. - Neil Shephard & Ole Barndorff-Nielsen, 2003.
"
**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
- 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, vol. 22(04), pages 677-719, August.- Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre. - 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.

- Neil Shephard, 2005.
"
- 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, vol. 32(4), pages 617-637. - Ole E. Barndorff-Nielsen, 2004.
"
**Power and Bipower Variation with Stochastic Volatility and Jumps**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.- 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.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**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. - 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, vol. 30(2), pages 277-295. - Ole E. Barndorff-Nielsen & Richard D. Gill & Peter E. Jupp, 2003.
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**On quantum statistical inference**," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 775-804. - Ole E. Barndorff-Nielsen & Shephard, 2002.
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**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.- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
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**Econometric analysis of realised volatility and its use in estimating stochastic volatility models**," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
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- 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.- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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**Estimating quadratic variation using realised variance**," Economics Series Working Papers 2001-W20, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
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**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. - Ole E. Barndorff-Nielsen & Karsten Prause, 2001.
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**Apparent scaling**," Finance and Stochastics, Springer, vol. 5(1), pages 103-113. - Ole E. Barndorff-Nielsen, 2000.
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**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, vol. 27(1), pages 129-141. - O. E. Barndorff-Nielsen, 1999.
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**Tail Exactness of Multivariate Saddlepoint Approximations**," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(2), pages 253-264. - Asmussen, Soren & Barndorff-Nielsen, Ole. E., 1998.
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**The interplay between insurance, finance and control**," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 1-1, May. - G. Ronning & C. Heyde & O. Aalen & P. Huber & P. Loeb & D. Burkholder & Kh. Alam & O. Barndorff-Nielsen & P. Kloeden, 1997.
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**Book reviews**," Metrika, Springer, vol. 45(1), pages 84-93, January. - Ole E. Barndorff-Nielsen, 1997.
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**Processes of normal inverse Gaussian type**," Finance and Stochastics, Springer, vol. 2(1), pages 41-68. - O. Barndorff-Nielsen, 1995.
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**Quasi profile and directed likelihoods from estimating functions**," Annals of the Institute of Statistical Mathematics, Springer, vol. 47(3), pages 461-464, September. - Barndorff-Nielsen, O. E. & Jørgensen, B., 1991.
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**Some parametric models on the simplex**," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 106-116, October. - Barndorff-Nielsen, O. E. & Sorensen, M., 1991.
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**Information quantities in non-classical settings**," Computational Statistics & Data Analysis, Elsevier, vol. 12(2), pages 143-158, September. - O. Barndorff-Nielsen & P. Jupp, 1989.
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**Approximating exponential models**," Annals of the Institute of Statistical Mathematics, Springer, vol. 41(2), pages 247-267, June. - Barndorff-Nielsen, O. & Schou, G., 1973.
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**On the parametrization of autoregressive models by partial autocorrelations**," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.

56 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-CBA: Central Banking (1) 2008-12-01
- NEP-CMP: Computational Economics (1) 2004-02-01
- 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
- NEP-ENE: Energy Economics (2) 2010-05-08 2010-09-03
- 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
- 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
- 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
- NEP-IFN: International Finance (3) 2001-12-04 2004-01-18 2004-01-25
- NEP-MIC: Microeconomics (1) 2010-05-08
- 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
- NEP-ORE: Operations Research (4) 2008-12-01 2009-06-03 2010-05-08 2010-05-08
- 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

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#### Most cited item

- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"
**Econometric analysis of realised volatility and its use in estimating stochastic volatility models**," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.

#### Most downloaded item (past 12 months)

- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
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**Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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