Ole E. Barndorff-Nielsen

  1. 2017
  2. Udgivet

    Incremental similarity and turbulence. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen.

    I: Theory of Probability and Its Applications, Bind 61, Nr. 3, 2017, s. 482-489.

    Publikation: Forskning - peer reviewTidsskriftartikel

  3. 2016
  4. Udgivet

    Assessing Gamma kernels and BSS/LSS processes. / Barndorff-Nielsen, Ole E.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Publikation: ForskningWorking paper

  5. Udgivet

    Gamma kernels and BSS/LSS processes. / Barndorff-Nielsen, Ole E.

    Advanced Modeling in Mathematical Finance. In Honor of Ernst Eberlein. red. / J. Kallsen; A. Papapantoleon. Springer, 2016. s. 41-61.

    Publikation: Forskning - peer reviewKonferencebidrag i proceedings

  6. Udgivet

    Some recent developments in Ambit Stochastics. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt.

    Stochastics of Environmental and Financial Economics. red. / Fred Espen Benth ; Giulia Di Nunno. Bind 138 Springer, 2016. s. 3-25.

    Publikation: Forskning - peer reviewBidrag til bog/antologi

  7. 2015
  8. Udgivet

    Selfdecomposable Fields. / Barndorff-Nielsen, Ole E.; Sauri, Orimar; Szozda, Benedykt.

    arXiv.org, 2015.

    Publikation: ForskningWorking paper

  9. Udgivet

    Change of time and change of measure. / Barndorff-Nielsen, Ole Eiler; Shiryaev, Albert N.

    2 udg. Singapore : World Scientific Publishing Co Pte Ltd, 2015. 326 s.

    Publikation: Forskning - peer reviewBog

  10. Udgivet

    Cross-commodity modelling by multivariate ambit fields. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut.

    Commodities, Energy and Environmental Finance. red. / Rene Aïd; Michael Ludkovski; Ronnie Sircar. Bind II Springer, 2015. s. 109-148.

    Publikation: Forskning - peer reviewBidrag til bog/antologi

  11. Udgivet

    Incremental Similarity and Turbulence. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015.

    Publikation: ForskningWorking paper

  12. Udgivet

    Incremental similarity and turbulence. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen.

    arXiv.org, 2015. s. 1509.06515.

    Publikation: ForskningWorking paper

  13. Udgivet

    Intermittent stochastic fields and space-time symmetry. / Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015.

    Publikation: ForskningWorking paper

  14. Udgivet

    Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut.

    I: Banach Center Publications, Bind 104, 2015, s. 25-60.

    Publikation: Forskning - peer reviewTidsskriftartikel

  15. Udgivet

    Selfdecomposable Fields. / Barndorff-Nielsen, Ole E.; Sauri, Orimar; Szozda, Benedykt.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015.

    Publikation: ForskningWorking paper

  16. E-pub ahead of print

    Selfdecomposable fields. / Barndorff-Nielsen, Ole E.; Sauri, Orimar; Szozda, Benedykt.

    I: Journal of Theoretical Probability, 2015.

    Publikation: Forskning - peer reviewTidsskriftartikel

  17. Udgivet

    Some Recent Developments in Ambit Stochastics. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015.

    Publikation: ForskningWorking paper

  18. Udgivet

    Some Recent Developments in Ambit Stochastics. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt.

    Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, 2014-2015. red. / Fred Espen Benth; Giulia Di Nunno. Bind I Springer, 2015. s. 3-25.

    Publikation: Forskning - peer reviewBidrag til bog/antologi

  19. Udgivet

    Some recent developments in Ambit Stochastics. / Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt.

    Aarhus : T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015. 27 s.

    Publikation: ForskningRapport

  20. 2014
  21. Udgivet

    Assessing relative volatility/intermittency/energy dissipation. / Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen.

    I: Electronic Journal of Statistics, Bind 8, Nr. 2, 2014, s. 1996-2021.

    Publikation: Forskning - peer reviewTidsskriftartikel

  22. Udgivet

    Integer-valued trawl processes : A class of stationary infinitely divisible processes. / Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut.

    I: Scandinavian Journal of Statistics, Bind 41, 2014, s. 693-724.

    Publikation: Forskning - peer reviewTidsskriftartikel

  23. Udgivet

    Modelling electricity futures by ambit fields. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut.

    I: Advances in Applied Probability, Bind 46, Nr. 3, 2014, s. 719-745.

    Publikation: Forskning - peer reviewTidsskriftartikel

  24. Udgivet

    On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt.

    I: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bind 17, Nr. 2, 1450011, 2014.

    Publikation: Forskning - peer reviewTidsskriftartikel

  25. Udgivet

    On stochastic integration for volatility modulated Lévy-driven Volterra processes. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E D.

    I: Stochastic Processes and Their Applications, Bind 124, Nr. 1, 2014, s. 812-847.

    Publikation: Forskning - peer reviewTidsskriftartikel

  26. 2013
  27. Udgivet

    Assessing Relative Volatility/Intermittency/Energy Dissipation. / Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Publikation: ForskningWorking paper

  28. Udgivet

    On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. / E. Barndorff-Nielsen, Ole; Benth, Fred Espen; Szozda, Benedykt.

    arXiv.org, 2013.

    Publikation: ForskningWorking paper

  29. Udgivet

    Levy Mixing. / Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor; Thorbjørnsen, Steen.

    I: Alea (Rio de Janeiro), Bind X, Nr. 2, 2013, s. 1013-1062.

    Publikation: Forskning - peer reviewTidsskriftartikel

  30. Udgivet

    Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark.

    Prokhorov and contemporary probability theory: In Honor of Yuri V. Prokhorov. red. / A. N. Shiryaev; S. R. S. Varadhan; E. L. Presman. Springer, 2013. s. 69-96.

    Publikation: Forskning - peer reviewBidrag til bog/antologi

  31. Udgivet

    Modelling energy spot prices by volatility modulated Levy-driven Volterra processes. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.

    I: Bernoulli, Bind 19, Nr. 3, 2013, s. 803-845.

    Publikation: Forskning - peer reviewTidsskriftartikel

  32. Udgivet

    On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2013.

    Publikation: ForskningWorking paper

  33. Udgivet

    Stochastic volatility of volatility and variance risk premia. / Barndorff-nielsen, O.E.; Veraart, A.E.D.

    I: Journal of Financial Econometrics, Bind 11, Nr. 1, 2013, s. 1-46.

    Publikation: Forskning - peer reviewTidsskriftartikel

  34. Udgivet

    The multivariate supOU stochastic volatility model. / Barndorff-Nielsen, Ole E.; Stelzer, Robert.

    I: Mathematical Finance, Bind 23, Nr. 2, 2013, s. 275-296.

    Publikation: Forskning - peer reviewTidsskriftartikel

  35. Udgivet

    Time change and Universality in Turbulence and Finance. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen; Shephard, Neil.

    2013. Paper præsenteret ved Time change and Universality in Turbulence and Finance, .

    Publikation: Forskning - peer reviewPaper

  36. 2012
  37. Udgivet

    Integer-valued Lévy processes and low latency financial econometrics. / Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil.

    I: Quantitative Finance, Bind 12, Nr. 4, 2012, s. 587-605.

    Publikation: Forskning - peer reviewTidsskriftartikel

  38. Udgivet

    Meta-times and extended subordination. / Barndorff-Nielsen, Ole E.; Pedersen, Jan.

    I: Theory of Probability and Its Applications, Bind 56, Nr. 2, 2012, s. 319-327.

    Publikation: Forskning - peer reviewTidsskriftartikel

  39. Udgivet

    Notes on the gamma kernel. / Barndorff-Nielsen, Ole E.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2012.

    Publikation: ForskningWorking paper

  40. Udgivet

    Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut.

    arXiv.org, 2012. s. 1210.1354.

    Publikation: ForskningWorking paper

  41. 2011
  42. Udgivet

    Stationary infinitely divisible processes. / Barndorff-Nielsen, Ole E.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

    Publikation: ForskningWorking paper

  43. Udgivet

    Ambit processes and stochastic partial differential equations. / Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut.

    Advanced Mathematical Methods for Finance. red. / Giulia Di Nunno; Bernt Øksendal. Berlin : Springer, 2011. s. 35-74.

    Publikation: Forskning - peer reviewBidrag til bog/antologi

  44. Accepteret/In press

    Financial Volatility in Continuous Time. / Barndorff-Nielsen, Ole Eiler; Shephard, N.

    Cambridge University Press, 2011.

    Publikation: ForskningBog

  45. Udgivet

    Multipower variation for Brownian semistationary processes. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark.

    I: Bernoulli, Bind 17, Nr. 4, 2011, s. 1159-1194.

    Publikation: Forskning - peer reviewTidsskriftartikel

  46. Udgivet

    Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil.

    I: Journal of Econometrics, Bind 162, Nr. 2, 2011, s. 149-169.

    Publikation: Forskning - peer reviewTidsskriftartikel

  47. Udgivet

    Multivariate supOU processes. / Barndorff-Nielsen, Ole Eiler; Stelzer, Robert.

    I: Annals of Applied Probability, Bind 21, Nr. 1, 2011, s. 140-182.

    Publikation: Forskning - peer reviewTidsskriftartikel

  48. Udgivet

    Quasi Ornstein-Uhlenbeck processes. / Barndorff-Nielsen, Ole Eiler; Basse-O'Connor, Andreas.

    I: Bernoulli, Bind 17, Nr. 3, 2011, s. 916-941.

    Publikation: Forskning - peer reviewTidsskriftartikel

  49. Udgivet

    Stationary infinitely divisible processes. / Barndorff-Nielsen, Ole E.

    I: Brazilian Journal of Probability and Statistics, Bind 25, Nr. 3, 2011, s. 294-322.

    Publikation: Forskning - peer reviewTidsskriftartikel

  50. Udgivet

    Subsampling Realised Kernels. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil.

    I: Journal of Econometrics, Bind 160, Nr. 1, 2011, s. 204-219.

    Publikation: Forskning - peer reviewTidsskriftartikel

  51. Udgivet

    Volatility determination in an ambit process setting. / Barndorff-Nielsen, Ole E.; Graversen, Svend-Erik.

    I: Journal of Applied Probability, Bind 48A, Nr. special volume, 2011, s. 263-275.

    Publikation: Forskning - peer reviewTidsskriftartikel

  52. 2010
  53. Udgivet

    Meta-Times and Extended Subordination. / Barndorff-Nielsen, Ole; Pedersen, Jan.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  54. Udgivet

    Volatility Determination in an Ambit Process Setting. / Barndorff-Nielsen, Ole; Graversen, Svend-Erik.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  55. Udgivet

    Lévy Bases and Extended Subordination. / Barndorff-Nielsen, Ole.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  56. Udgivet

    Ambit processes and stochastic partial differential equations. / Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  57. Udgivet

    Change of time and change of measure. / Barndorff-Nielsen, Ole Eiler; Shiryaev, Albert N.

    Singapore : World Scientific Publishing Co Pte Ltd, 2010. 305 s.

    Publikation: ForskningBog

  58. Udgivet

    Integer-valued Lévy processes and low latency financial econometrics. / Barndorff-Nielsen, Ole; Pollard, David G.; Shephard, Neil.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  59. Udgivet

    Lévy matters I : recent progress in theory and applications: foundations, trees and numerical issues in finance. / Barndorff-Nielsen, Ole Eiler (Redaktør); Bertoin, Jean (Redaktør); Jacod, Jean (Redaktør); Klüppelberg, Claudia (Redaktør).

    Berlin : Springer, 2010. 198 s.

    Publikation: ForskningAntologi

  60. Udgivet

    Measuring downside risk - realized semivariance. / Barndorff-Nielsen, Ole; Kinnebrock, Solja; Shephard, Neil.

    Volatility and time series econometrics: essays in honor of Robert Engle. red. / Tim Bollerslev; Jeffrey Russell; Mark Watson. Oxford : Oxford University Press, 2010.

    Publikation: Forskning - peer reviewBidrag til bog/antologi

  61. Udgivet

    Modelling electricity forward markets by ambit fields. / Barndorff-Nielsen, Ole; Fred Espen Benth, Fred Espen; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  62. Udgivet

    Modelling energy spot prices by Lévy semistationary processes. / Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Publikation: ForskningWorking paper

  63. Udgivet

    On free and classical type G distributions. / Arizmendi, Octavio; Barndorff-Nielsen, Ole Eiler; Pérez-Abreu, Víctor.

    I: Brazilian Journal of Probability and Statistics, Bind 24, Nr. 2, 2010, s. 106-127.

    Publikation: Forskning - peer reviewTidsskriftartikel

  64. Udgivet

    Volatility. / Barndorff-Nielsen, Ole E.; Shephard, N.

    Encyclopedia of quantitative finance. red. / Rama Cont. Bind 4 John Wiley & Sons Ltd, 2010. s. 1898-1901.

    Publikation: FormidlingEncyclopædiartikel

  65. 2009
  66. Udgivet

    Quasi Ornstein-Uhlenbeck processes. / Barndorff-Nielsen, Ole Eiler; Basse-O'Connor, Andreas.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2009.

    Publikation: ForskningWorking paper

  67. Udgivet

    Multivariate supOU processes. / Barndorff-Nielsen, Ole Eiler; Stelzer, Robert.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2009.

    Publikation: ForskningWorking paper

  68. Udgivet

    Brownian semistationary processes and volatility/intermittency. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2009.

    Publikation: ForskningWorking paper

  69. Udgivet

    Bipower variation for Gaussian processes with stationary increments. / Barndorff-Nielsen, Ole Eiler; Corcuera, José Manuel; Podolskij, Mark; Woerner, Jeannette H.C.

    I: Journal of Applied Probability, Bind 46, Nr. 1, 2009, s. 132-150.

    Publikation: Forskning - peer reviewTidsskriftartikel

  70. Udgivet

    Brownian semistationary processes and volatility/intermittency. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    I: Radon series on computational and applied mathematics, Bind 8, 2009, s. 1-25.

    Publikation: Forskning - peer reviewTidsskriftartikel

  71. Udgivet

    Power variation for Gaussian processes with stationary increments. / Barndorff-Nielsen, Ole Eiler; Corcuera, J.M.; Podolskij, Mark.

    I: Stochastic Processes and Their Applications, Bind 119, Nr. 6, 2009, s. 1845-1865.

    Publikation: Forskning - peer reviewTidsskriftartikel

  72. Udgivet

    Realized kernels in practice : trades and quotes. / Barndorff-Nielsen, Ole Eiler; Hansen, P. Reinhard; Lunde, Asger; Shephard, N.

    I: Econometrics Journal, Bind 12, Nr. 3, 2009, s. C1-C32.

    Publikation: Forskning - peer reviewTidsskriftartikel

  73. Udgivet

    Representation and properties of a class of conditionally Gaussian processes. / Barndorff-Nielsen, Ole Eiler; Pedersen, Jan.

    I: Alea, Bind 6, 2009, s. 179-197.

    Publikation: Forskning - peer reviewTidsskriftartikel

  74. Udgivet

    Stochastic volatility of volatility in continuous time. / Barndorff-Nielsen, Ole; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Publikation: ForskningWorking paper

  75. Udgivet

    The multivariate supOU stochastic volatility model. / Barndorff-Nielsen, Ole; Stelzer, Robert.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Publikation: ForskningWorking paper

  76. 2008
  77. Udgivet

    General Υ-transformations. / Barndorff-Nielsen, Ole Eiler; Rosinski, Jan; Thorbjørnsen, Steen.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2008.

    Publikation: ForskningWorking paper

  78. Udgivet

    A stochastic differential equation framework for the timewise dynamics of turbulent velocities. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    I: Theory of Probability and Its Applications, Bind 52, Nr. 3, 2008, s. 372-388.

    Publikation: Forskning - peer reviewTidsskriftartikel

  79. Udgivet

    Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. / Barndorff-Nielsen, Ole Eiler; Hansen, P.R.; Lunde, Asger; Shephard, N.

    I: Econometrica, Bind 76, Nr. 6, 2008, s. 1481-1536.

    Publikation: Forskning - peer reviewTidsskriftartikel

  80. Udgivet

    General Upsilon-transformations. / Barndorff-Nielsen, Ole Eiler; Rosinski, Jan; Thorbjørnsen, Steen.

    I: Alea (Rio de Janeiro), Bind 4, 2008, s. 131-165.

    Publikation: Forskning - peer reviewTidsskriftartikel

  81. Udgivet

    Matrix subordinators and related Upsilon transformations. / Barndorff-Nielsen, Ole Eiler; Pérez-Abreu, V.

    I: Theory of Probability and Its Applications, Bind 52, Nr. 1, 2008, s. 1-23.

    Publikation: Forskning - peer reviewTidsskriftartikel

  82. Udgivet

    Measuring downside risk - realised semivariance. / Barndorff-Nielsen, Ole; Kinnebrock, Silja; Shephard, Neil.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Publikation: ForskningWorking paper

  83. Udgivet

    Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. / Barndorff-Nielsen, Ole; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Publikation: ForskningWorking paper

  84. Udgivet

    Probability measures, Lévy measures and analyticity in time. / Barndorff-Nielsen, Ole Eiler; Hubalek, Friedrich.

    I: Bernoulli, Bind 14, Nr. 3, 2008, s. 764-790.

    Publikation: Forskning - peer reviewTidsskriftartikel

  85. Udgivet

    Semigroups of Upsilon transformations. / Barndorff-Nielsen, Ole Eiler; Maejima, Makoto.

    I: Stochastic Processes and Their Applications, Bind 118, Nr. 12, 2008, s. 2334-2343.

    Publikation: Forskning - peer reviewTidsskriftartikel

  86. Udgivet

    Time change, volatility and turbulence. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    Mathematical Control Theory and Finance. red. / Andrey Sarychev; Albert Shiryaev; Manuel Guerra; maria do Rosário Grossinho. Springer, 2008. s. 29-53.

    Publikation: Forskning - peer reviewKonferencebidrag i proceedings

  87. 2007
  88. Udgivet

    Time Change, Volatility, and Turbulence. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    Århus : Department of Mathematical Sciences , University of Aarhus, 2007.

    Publikation: ForskningWorking paper

  89. Udgivet

    Change of Time and Universal Laws in Turbulence. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    Århus : Department of Mathematical Sciences , University of Aarhus, 2007.

    Publikation: ForskningWorking paper

  90. Udgivet

    Dynamic Upsilon Transformations. / Barndorff-Nielsen, Ole Eiler; Maejima, Makoto.

    Århus : Department of Mathematical Sciences , University of Aarhus, 2007.

    Publikation: ForskningWorking paper

  91. Udgivet

    Ambit processes; with applications to turbulence and tumour growth. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    Stochastic analysis and applications: proceedings of the Second Abel Symposium held in honor of Kiyosi Itô. red. / Fred Espen Benth. Springer, 2007. s. 93-124.

    Publikation: ForskningKonferencebidrag i proceedings

  92. Udgivet

    Lévy copulas: dynamics and transforms of Upsilon type. / Barndorff-Nielsen, Ole Eiler; Lindner, A.

    I: Scandinavian Journal of Statistics, Bind 34, Nr. 2, 2007, s. 298-316.

    Publikation: Forskning - peer reviewTidsskriftartikel

  93. Udgivet

    Positive-definite matrix processes of finite variation. / Barndorff-Nielsen, Ole Eiler; Stelzer, Robert.

    I: Probability and Mathematical Statistics, Bind 27, Nr. 1, 2007, s. 3-43.

    Publikation: Forskning - peer reviewTidsskriftartikel

  94. Udgivet

    Spatio-temporal modelling : with a view to biological growth. / Jensen, Eva Bjørn Vedel; Jónsdóttir, Kristjana Ýr; Schmiegel, Jürgen; Barndorff-Nielsen, Ole Eiler.

    Statistical methods for spatio-temporal systems. red. / Barbel Finkenstadt; Leonhard Held; Valerie Isham. Chapman /, 2007. s. 47-76.

    Publikation: ForskningBidrag til bog/antologi

  95. Udgivet

    Variation, jumps, market frictions and high frequency data in financial econometrics. / Barndorff-Nielsen, Ole Eiler; Shephard, Neil.

    Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress. red. / Richard Blundell; Whitney Newey; Torsten Persson. Cambridge University Press, 2007.

    Publikation: Forskning - peer reviewKonferencebidrag i proceedings

  96. 2006
  97. Udgivet

    Time Change and Universality in Turbulence and Finance. / Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen; Shephard, Neil.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Publikation: ForskningWorking paper

  98. Udgivet

    Time change and universality in turbulence. / Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Publikation: ForskningWorking paper

  99. Udgivet

    Probability Measures, Lévy Measures, and Analyticity in Time. / Barndorff-Nielsen, Ole Eiler; Hubalek, Friedrich.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Publikation: ForskningWorking paper

  100. Udgivet

    Positive-Definite Matrix Processes of Finite Variation. / Barndorff-Nielsen, Ole Eiler; Stelzer, Robert.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Publikation: ForskningWorking paper

  101. Udgivet

    Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. / Barndorff-Nielsen, Ole Eiler; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Publikation: ForskningWorking paper

  102. Udgivet

    Limit theorems for multipower variation in the presence of jumps. / Barndorff-Nielsen, Ole Eiler; Shephard, Neil; Winkel, Matthias.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Publikation: ForskningWorking paper

  103. Udgivet

    A central limit theorem for realised power and bipower variations of continuous semimartingales. / Barndorff-Nielsen, Ole Eiler; Graversen, Svend-Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil.

    From stochastic calculus to mathematical finance: the Shiryaev Festschrift. red. / Yuri Kabanov; Robert Liptser; Jordan Stoyanov. Berlin : Springer, 2006. s. 33-68.

    Publikation: ForskningBidrag til bog/antologi

  104. Udgivet

    Classical and Free Infinite Divisibility and Lévy Processes. / Barndorff-Nielsen, Ole Eiler; Thorbjørnsen, Steen.

    Quantum Independent Increment Processes II: structure of quantum Lévy processes, classical probability, and physics. red. / O. E. Barndorff-Nielsen; U. Franz; R. Gohm; B. Kümmerer; S. Thorbjørnsen. Berlin : Springer, 2006. s. 33-160.

    Publikation: ForskningBidrag til bog/antologi

  105. Udgivet

    Comment on "Realized variance and market microstructure noise" by Hansen, P. and Lunde. A. / Barndorff-Nielsen, O. E.; Shephard, N.

    I: Journal of Business and Economic Statistics, Bind 24, Nr. 2, 2006, s. 179-181.

    Publikation: ForskningKommentar/debat

  106. Udgivet

    Econometrics of testing for jumps in financial economics using bipower variation. / Barndorff-Nielsen, Ole Eiler; Shephard, Neil.

    I: J. Fin. Econometrics, Bind 4, Nr. 1, 2006, s. 1-30.

    Publikation: ForskningTidsskriftartikel

  107. Udgivet

    Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes. / Barndorff-Nielsen, Ole Eiler; Shephard, N.

    I: J. Econometrics, Bind 131, 2006, s. 217-252.

    Publikation: Forskning - peer reviewTidsskriftartikel

  108. Udgivet

    Infinite divisibility for stochastic processes and time change. / Barndorff-Nielsen, Ole Eiler; Maejima, M.; Sato, K.

    I: J. Theor. Probab., Bind 19, 2006, s. 411-446.

    Publikation: Forskning - peer reviewTidsskriftartikel

  109. Udgivet

    Limit theorems for bipower variation in financial econometrics. / Barndorff-Nielsen, Ole Eiler; Graversen, Svend-Erik; Jacod, Jean; Shephard, Neil.

    I: Econometric Theory, Bind 22, Nr. 4, 2006, s. 677-719.

    Publikation: Forskning - peer reviewTidsskriftartikel

  110. Udgivet

    Limit theorems for multipower variation in the presence of jumps. / Barndorff-Nielsen, Ole Eiler; Shephard, Neil; Winkel, Matthias.

    I: Stochastic Process. Appl., Bind 116, Nr. 5, 2006, s. 796-806.

    Publikation: Forskning - peer reviewTidsskriftartikel

  111. Udgivet

    MatG random matrices. / Barndorff-Nielsen, Ole Eiler; Perez-Abreu, V.; Rocha-Arteaga, A.

    I: Stochastic Models, Bind 22, Nr. 4, 2006, s. 723-734.

    Publikation: Forskning - peer reviewTidsskriftartikel

  112. Udgivet

    Multipower variation and stochastic volatility. / Barndorff-Nielsen, Ole Eiler; Shephard, N.

    Stochastic Finance. red. / A.N. Shiryaev; M.R. Grossinho; P.E. Oliveira; M.L. Esquível. New York : Springer, 2006. s. 73-82.

    Publikation: ForskningBidrag til bog/antologi

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