Ole E. Barndorff-Nielsen

  1. 2017
  2. Published

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

    In: Theory of Probability and Its Applications, Vol. 61, No. 3, 2017, p. 482-489.

    Research output: Research - peer-reviewJournal article

  3. 2016
  4. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: ResearchWorking paper

  5. Published

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

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

    Research output: Research - peer-reviewArticle in proceedings

  6. Published

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

    Stochastics of Environmental and Financial Economics. ed. / Fred Espen Benth ; Giulia Di Nunno. Vol. 138 Springer, 2016. p. 3-25.

    Research output: Research - peer-reviewBook chapter

  7. 2015
  8. Published

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

    arXiv.org, 2015.

    Research output: ResearchWorking paper

  9. Published

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

    2 ed. Singapore : World Scientific Publishing Co Pte Ltd, 2015. 326 p.

    Research output: Research - peer-reviewBook

  10. Published

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

    Commodities, Energy and Environmental Finance. ed. / Rene Aïd; Michael Ludkovski; Ronnie Sircar. Vol. II Springer, 2015. p. 109-148.

    Research output: Research - peer-reviewBook chapter

  11. Published

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

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

    Research output: ResearchWorking paper

  12. Published

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

    arXiv.org, 2015. p. 1509.06515.

    Research output: ResearchWorking paper

  13. Published

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

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

    Research output: ResearchWorking paper

  14. Published

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

    In: Banach Center Publications, Vol. 104, 2015, p. 25-60.

    Research output: Research - peer-reviewJournal article

  15. Published

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

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

    Research output: ResearchWorking paper

  16. E-pub ahead of print

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

    In: Journal of Theoretical Probability, 2015.

    Research output: Research - peer-reviewJournal article

  17. Published

    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.

    Research output: ResearchWorking paper

  18. Published

    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. ed. / Fred Espen Benth; Giulia Di Nunno. Vol. I Springer, 2015. p. 3-25.

    Research output: Research - peer-reviewBook chapter

  19. Published

    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 p.

    Research output: ResearchReport

  20. 2014
  21. Published

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

    In: Electronic Journal of Statistics, Vol. 8, No. 2, 2014, p. 1996-2021.

    Research output: Research - peer-reviewJournal article

  22. Published

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

    In: Scandinavian Journal of Statistics, Vol. 41, 2014, p. 693-724.

    Research output: Research - peer-reviewJournal article

  23. Published

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

    In: Advances in Applied Probability, Vol. 46, No. 3, 2014, p. 719-745.

    Research output: Research - peer-reviewJournal article

  24. Published

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

    In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Vol. 17, No. 2, 1450011, 2014.

    Research output: Research - peer-reviewJournal article

  25. Published

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

    In: Stochastic Processes and Their Applications, Vol. 124, No. 1, 2014, p. 812-847.

    Research output: Research - peer-reviewJournal article

  26. 2013
  27. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: ResearchWorking paper

  28. Published

    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.

    Research output: ResearchWorking paper

  29. Published

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

    In: Alea (Rio de Janeiro), Vol. X, No. 2, 2013, p. 1013-1062.

    Research output: Research - peer-reviewJournal article

  30. Published

    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. ed. / A. N. Shiryaev; S. R. S. Varadhan; E. L. Presman. Springer, 2013. p. 69-96.

    Research output: Research - peer-reviewBook chapter

  31. Published

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

    In: Bernoulli, Vol. 19, No. 3, 2013, p. 803-845.

    Research output: Research - peer-reviewJournal article

  32. Published

    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.

    Research output: ResearchWorking paper

  33. Published

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

    In: Journal of Financial Econometrics, Vol. 11, No. 1, 2013, p. 1-46.

    Research output: Research - peer-reviewJournal article

  34. Published

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

    In: Mathematical Finance, Vol. 23, No. 2, 2013, p. 275-296.

    Research output: Research - peer-reviewJournal article

  35. Published

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

    2013. Paper presented at Time change and Universality in Turbulence and Finance, .

    Research output: Research - peer-reviewPaper

  36. 2012
  37. Published

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

    In: Quantitative Finance, Vol. 12, No. 4, 2012, p. 587-605.

    Research output: Research - peer-reviewJournal article

  38. Published

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

    In: Theory of Probability and Its Applications, Vol. 56, No. 2, 2012, p. 319-327.

    Research output: Research - peer-reviewJournal article

  39. Published

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

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

    Research output: ResearchWorking paper

  40. Published

    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. p. 1210.1354.

    Research output: ResearchWorking paper

  41. 2011
  42. Published

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

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

    Research output: ResearchWorking paper

  43. Published

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

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

    Research output: Research - peer-reviewBook chapter

  44. Accepted/In press

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

    Cambridge University Press, 2011.

    Research output: ResearchBook

  45. Published

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

    In: Bernoulli, Vol. 17, No. 4, 2011, p. 1159-1194.

    Research output: Research - peer-reviewJournal article

  46. Published

    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.

    In: Journal of Econometrics, Vol. 162, No. 2, 2011, p. 149-169.

    Research output: Research - peer-reviewJournal article

  47. Published

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

    In: Annals of Applied Probability, Vol. 21, No. 1, 2011, p. 140-182.

    Research output: Research - peer-reviewJournal article

  48. Published

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

    In: Bernoulli, Vol. 17, No. 3, 2011, p. 916-941.

    Research output: Research - peer-reviewJournal article

  49. Published

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

    In: Brazilian Journal of Probability and Statistics, Vol. 25, No. 3, 2011, p. 294-322.

    Research output: Research - peer-reviewJournal article

  50. Published

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

    In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 204-219.

    Research output: Research - peer-reviewJournal article

  51. Published

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

    In: Journal of Applied Probability, Vol. 48A, No. special volume, 2011, p. 263-275.

    Research output: Research - peer-reviewJournal article

  52. 2010
  53. Published

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

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

    Research output: ResearchWorking paper

  54. Published

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

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

    Research output: ResearchWorking paper

  55. Published

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

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

    Research output: ResearchWorking paper

  56. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  57. Published

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

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

    Research output: ResearchBook

  58. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  59. Published

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

    Berlin : Springer, 2010. 198 p.

    Research output: ResearchAnthology

  60. Published

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

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

    Research output: Research - peer-reviewBook chapter

  61. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  62. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  63. Published

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

    In: Brazilian Journal of Probability and Statistics, Vol. 24, No. 2, 2010, p. 106-127.

    Research output: Research - peer-reviewJournal article

  64. Published

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

    Encyclopedia of quantitative finance. ed. / Rama Cont. Vol. 4 John Wiley & Sons Ltd, 2010. p. 1898-1901.

    Research output: CommunicationEncyclopedia entry

  65. 2009
  66. Published

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

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

    Research output: ResearchWorking paper

  67. Published

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

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

    Research output: ResearchWorking paper

  68. Published

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

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

    Research output: ResearchWorking paper

  69. Published

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

    In: Journal of Applied Probability, Vol. 46, No. 1, 2009, p. 132-150.

    Research output: Research - peer-reviewJournal article

  70. Published

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

    In: Radon series on computational and applied mathematics, Vol. 8, 2009, p. 1-25.

    Research output: Research - peer-reviewJournal article

  71. Published

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

    In: Stochastic Processes and Their Applications, Vol. 119, No. 6, 2009, p. 1845-1865.

    Research output: Research - peer-reviewJournal article

  72. Published

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

    In: Econometrics Journal, Vol. 12, No. 3, 2009, p. C1-C32.

    Research output: Research - peer-reviewJournal article

  73. Published

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

    In: Alea, Vol. 6, 2009, p. 179-197.

    Research output: Research - peer-reviewJournal article

  74. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: ResearchWorking paper

  75. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: ResearchWorking paper

  76. 2008
  77. Published

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

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

    Research output: ResearchWorking paper

  78. Published

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

    In: Theory of Probability and Its Applications, Vol. 52, No. 3, 2008, p. 372-388.

    Research output: Research - peer-reviewJournal article

  79. Published

    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.

    In: Econometrica, Vol. 76, No. 6, 2008, p. 1481-1536.

    Research output: Research - peer-reviewJournal article

  80. Published

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

    In: Alea (Rio de Janeiro), Vol. 4, 2008, p. 131-165.

    Research output: Research - peer-reviewJournal article

  81. Published

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

    In: Theory of Probability and Its Applications, Vol. 52, No. 1, 2008, p. 1-23.

    Research output: Research - peer-reviewJournal article

  82. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: ResearchWorking paper

  83. Published

    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.

    Research output: ResearchWorking paper

  84. Published

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

    In: Bernoulli, Vol. 14, No. 3, 2008, p. 764-790.

    Research output: Research - peer-reviewJournal article

  85. Published

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

    In: Stochastic Processes and Their Applications, Vol. 118, No. 12, 2008, p. 2334-2343.

    Research output: Research - peer-reviewJournal article

  86. Published

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

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

    Research output: Research - peer-reviewArticle in proceedings

  87. 2007
  88. Published

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

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

    Research output: ResearchWorking paper

  89. Published

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

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

    Research output: ResearchWorking paper

  90. Published

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

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

    Research output: ResearchWorking paper

  91. Published

    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. ed. / Fred Espen Benth. Springer, 2007. p. 93-124.

    Research output: ResearchArticle in proceedings

  92. Published

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

    In: Scandinavian Journal of Statistics, Vol. 34, No. 2, 2007, p. 298-316.

    Research output: Research - peer-reviewJournal article

  93. Published

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

    In: Probability and Mathematical Statistics, Vol. 27, No. 1, 2007, p. 3-43.

    Research output: Research - peer-reviewJournal article

  94. Published

    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. ed. / Barbel Finkenstadt; Leonhard Held; Valerie Isham. Chapman /, 2007. p. 47-76.

    Research output: ResearchBook chapter

  95. Published

    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. ed. / Richard Blundell; Whitney Newey; Torsten Persson. Cambridge University Press, 2007.

    Research output: Research - peer-reviewArticle in proceedings

  96. 2006
  97. Published

    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.

    Research output: ResearchWorking paper

  98. Published

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

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

    Research output: ResearchWorking paper

  99. Published

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

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

    Research output: ResearchWorking paper

  100. Published

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

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

    Research output: ResearchWorking paper

  101. Published

    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.

    Research output: ResearchWorking paper

  102. Published

    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.

    Research output: ResearchWorking paper

  103. Published

    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. ed. / Yuri Kabanov; Robert Liptser; Jordan Stoyanov. Berlin : Springer, 2006. p. 33-68.

    Research output: ResearchBook chapter

  104. Published

    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. ed. / O. E. Barndorff-Nielsen; U. Franz; R. Gohm; B. Kümmerer; S. Thorbjørnsen. Berlin : Springer, 2006. p. 33-160.

    Research output: ResearchBook chapter

  105. Published

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

    In: Journal of Business and Economic Statistics, Vol. 24, No. 2, 2006, p. 179-181.

    Research output: ResearchComment/debate

  106. Published

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

    In: J. Fin. Econometrics, Vol. 4, No. 1, 2006, p. 1-30.

    Research output: ResearchJournal article

  107. Published

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

    In: J. Econometrics, Vol. 131, 2006, p. 217-252.

    Research output: Research - peer-reviewJournal article

  108. Published

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

    In: J. Theor. Probab., Vol. 19, 2006, p. 411-446.

    Research output: Research - peer-reviewJournal article

  109. Published

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

    In: Econometric Theory, Vol. 22, No. 4, 2006, p. 677-719.

    Research output: Research - peer-reviewJournal article

  110. Published

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

    In: Stochastic Process. Appl., Vol. 116, No. 5, 2006, p. 796-806.

    Research output: Research - peer-reviewJournal article

  111. Published

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

    In: Stochastic Models, Vol. 22, No. 4, 2006, p. 723-734.

    Research output: Research - peer-reviewJournal article

  112. Published

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

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

    Research output: ResearchBook chapter

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