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1

Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

Ole E. Barndorff-Nielsen

Journal:

Scandinavian Journal of Statistics

Year:

1997

Language:

english

File:

PDF, 287 KB

english, 1997

2

The Role of Differential Geometry in Statistical Theory

O. E. Barndorff-Nielsen, D. R. Cox and N. Reid

Journal:

International Statistical Review

Year:

1986

Language:

english

File:

PDF, 1.77 MB

english, 1986

3

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Ole E. Barndorff-Nielsen,

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

2002

Language:

english

File:

PDF, 720 KB

english, 2002

4

Processes of normal inverse Gaussian type

Ole E. Barndorff-Nielsen

Journal:

Finance and Stochastics

Year:

1997

Language:

english

File:

PDF, 239 KB

english, 1997

5

Feller processes of normal inverse Gaussian type

Barndorff-Nielsen, O.E., Levendorskii, S.Z.

Journal:

Quantitative Finance

Year:

2001

Language:

english

File:

PDF, 180 KB

english, 2001

6

Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics

Ole E. Barndorff-Nielsen, Neil Shephard

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

2001

Language:

english

File:

PDF, 1.04 MB

english, 2001

7

R. A. Fisher in the 21st century (Invited paper presented at the 1996 R. A. Fisher Lecture)Comment by D. R. CoxComment by Rob KassComment by Ole E. Barndorff-NielsenComment by D. V. HinkleyComment by D. A. S. FraserComment by A. P. DempsterRejoinder by Bradley Efron

Efron, Bradley, Cox, D. R., Kass, Rob, Barndorff-Nielsen, Ole E., Hinkley, D. V., Fraser, D. A. S., Dempster, A. P., Efron, Bradley

Journal:

Statistical Science

Year:

1998

Language:

english

File:

PDF, 548 KB

english, 1998

8

On a formula for the distribution of the maximum likelihood estimator

BARNDORFF-NIELSEN, O.

Journal:

Year:

1983

Language:

english

File:

PDF, 1.30 MB

english, 1983

9

Normal Variance-Mean Mixtures and z Distributions

O. Barndorff-Nielsen, J. Kent and M. Sørensen

Journal:

International Statistical Review

Year:

1982

Language:

english

File:

PDF, 1.90 MB

english, 1982

10

Some Stationary Processes in Discrete and Continuous Time

O. E. Barndorff-Nielsen, J. L. Jensen and M. Sørensen

Journal:

Advances in Applied Probability

Year:

1998

Language:

english

File:

PDF, 1.53 MB

english, 1998

11

Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff-Nielsen and Neil Shephard

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

2001

Language:

english

File:

PDF, 6.03 MB

english, 2001

12

Design-Based and Model-Based Inference in Survey Sampling [with Discussion and Reply]

Carl-Erik Särndal, Ib Thomsen, Jan M. Hoem, D. V. Lindley, O. Barndorff-Nielsen and Tore Dalenius

Journal:

Scandinavian Journal of Statistics

Year:

1978

Language:

english

File:

PDF, 4.57 MB

english, 1978

13

Hyperbolic Distributions and Distributions on Hyperbolae

O. Barndorff-Nielsen

Journal:

Scandinavian Journal of Statistics

Year:

1978

Language:

english

File:

PDF, 974 KB

english, 1978

14

Edgeworth and Saddle-Point Approximations with Statistical Applications

O. Barndorff-Nielsen and D. R. Cox

Journal:

Journal of the Royal Statistical Society Series B (Methodological)

Year:

1979

Language:

english

File:

PDF, 3.33 MB

english, 1979

15

Estimating quadratic variation using realized variance

Ole E. Barndorff-Nielsen, Neil Shephard

Journal:

Journal of Applied Econometrics

Year:

2002

Language:

english

File:

PDF, 193 KB

english, 2002

16

Exponentially Decreasing Distributions for the Logarithm of Particle Size

O. Barndorff-Nielsen

Journal:

Proceedings of the Royal Society of London Series A Mathematical and Physical Sciences (1934-1990)

Year:

1977

Language:

english

File:

PDF, 1.59 MB

english, 1977

17

Inference on Full or Partial Parameters Based on the Standardized Signed Log Likelihood Ratio

O. E. Barndorff-Nielsen

Journal:

Year:

1986

Language:

english

File:

PDF, 1.54 MB

english, 1986

18

Differential Geometry in Statistical Inference || Differential Geometry in Statistical Inference

S.-I. Amari, O. E. Barndorff-Nielsen, R. E. Kass, S. L. Lauritzen and C. R. Rao

Journal:

IMS Lecture Notes--Monograph Series

Year:

1987

Language:

english

File:

PDF, 12.50 MB

english, 1987

19

Information and Exponential Families (In Statistical Theory) || Convex Analysis

Barndorff-Nielsen, O.

Year:

2014

Language:

english

File:

PDF, 870 KB

english, 2014

20

Realized kernels in practice: trades and quotes

O. E. Barndorff-Nielsen, P. Reinhard Hansen, A. Lunde, N. Shephard

Journal:

The Econometrics Journal

Year:

2009

Language:

english

File:

PDF, 4.43 MB

english, 2009

21

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard

Journal:

Year:

2008

Language:

english

File:

PDF, 673 KB

english, 2008

22

Sand, wind and statistics: Some recent investigations

O. E. Barndorff-Nielsen

Journal:

Year:

1986

Language:

english

File:

PDF, 1019 KB

english, 1986

23

Superposition of Ornstein--Uhlenbeck Type Processes

Barndorff-Nielsen, O. E.

Journal:

Theory of Probability & Its Applications

Year:

2001

Language:

english

File:

PDF, 199 KB

english, 2001

24

Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

Ole E. Barndorff-Nielsen

Journal:

Scandinavian Journal of Statistics

Year:

1997

Language:

english

File:

PDF, 1.24 MB

english, 1997

25

Modified Signed Log Likelihood Ratio

O. E. Barndorff-Nielsen

Journal:

Year:

1991

Language:

english

File:

PDF, 700 KB

english, 1991

26

Integer-valued Lévy processes and low latency financial econometrics

Barndorff-Nielsen, Ole E., Pollard, David G., Shephard, Neil

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 475 KB

english, 2012

27

Lévy Processes || Modelling by Lévy Processess for Financial Econometrics

Barndorff-Nielsen, Ole E., Resnick, Sidney I., Mikosch, Thomas

Year:

2001

Language:

english

File:

PDF, 3.03 MB

english, 2001

28

[R. A. Fisher in the 21st Century]: Comment

Ole E. Barndorff-Nielsen

Journal:

Statistical Science

Year:

1998

Language:

english

File:

PDF, 355 KB

english, 1998

29

Stationary infinitely divisible processes

Barndorff-Nielsen, Ole E.

Journal:

Brazilian Journal of Probability and Statistics

Year:

2011

Language:

english

File:

PDF, 271 KB

english, 2011

30

Measuring Downside Risk - Realised Semivariance

Barndorff-Nielsen, Ole E., Kinnebrock, Silja, Shephard, Neil

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 363 KB

english, 2008

31

Some parametric models on the simplex

O.E. Barndorff-Nielsen, B. Jørgensen

Journal:

Journal of Multivariate Analysis

Year:

1991

Language:

english

File:

PDF, 484 KB

english, 1991

32

Subsampling realised kernels

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 533 KB

english, 2011

33

Apparent scaling

Ole E. Barndorff-Nielsen, Karsten Prause

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 102 KB

english, 2001

34

Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes

O. E. Barndorff-Nielsen, N. N. Leonenko

Journal:

Methodology and Computing in Applied Probability

Year:

2005

Language:

english

File:

PDF, 388 KB

english, 2005

35

Stationary and self-similar processes driven by Lévy processes

Ole E Barndorff-Nielsen, Victor Pérez-Abreu

Journal:

Stochastic Processes and their Applications

Year:

1999

Language:

english

File:

PDF, 155 KB

english, 1999

36

Tail Exactness of Multivariate Saddlepoint Approximations

O. E. Barndorff-Nielsen, C. Kluppelberg

Journal:

Scandinavian Journal of Statistics

Year:

1999

Language:

english

File:

PDF, 247 KB

english, 1999

37

On quantum statistical inference

Ole E. Barndorff-Nielsen, Richard D. Gill, Peter E. Jupp

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

2003

Language:

english

File:

PDF, 334 KB

english, 2003

38

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Ole E. Barndorff-Nielsen, Neil Shephard

Journal:

Year:

2004

Language:

english

File:

PDF, 676 KB

english, 2004

39

Multivariate Distributions with Generalized Inverse Gaussian Marginals, and Associated Poisson Mixtures

O. E. Barndorff-Nielsen, P. Blæsild and V. Seshadri

Journal:

Canadian Journal of Statistics

Year:

1992

Language:

english

File:

PDF, 543 KB

english, 1992

40

Fisher information in quantum statistics

Barndorff-Nielsen, O E, Gill, R D

Journal:

Journal of Physics A: Mathematical and General Physics

Year:

2000

Language:

english

File:

PDF, 106 KB

english, 2000

41

On the Distribution of the Number of Admissible Points in a Vector Random Sample

Barndorff-Nielsen, O., Sobel, M.

Journal:

Theory of Probability & Its Applications

Year:

1966

Language:

english

File:

PDF, 1.62 MB

english, 1966

42

L-Nonformation, L-Ancillarity, and L-Sufficiency

Barndorff-Nielsen, O. E.

Journal:

Theory of Probability & Its Applications

Year:

2000

Language:

english

File:

PDF, 101 KB

english, 2000

43

Exponential Transformation Models

Barndorff-Nielsen, O., Blaesild, P., Jensen, J. L., Jorgensen, B.

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

1982

Language:

english

File:

PDF, 2.53 MB

english, 1982

44

[Lecture Notes in Statistics] Parametric Statistical Models and Likelihood Volume 50 || Cumulants

Barndorff-Nielsen, Ole E.

Year:

1988

Language:

english

File:

PDF, 766 KB

english, 1988

45

[Lecture Notes in Statistics] Decomposition and Invariance of Measures, and Statistical Transformation Models Volume 58 || Introduction

Barndorff-Nielsen, Ole E., Blæsild, Preben, Eriksen, Poul Svante

Year:

1989

Language:

english

File:

PDF, 328 KB

english, 1989

46

[Lecture Notes in Statistics] Decomposition and Invariance of Measures, and Statistical Transformation Models Volume 58 || Statistical transformation models

Barndorff-Nielsen, Ole E., Blæsild, Preben, Eriksen, Poul Svante

Year:

1989

Language:

english

File:

PDF, 2.28 MB

english, 1989

47

Exponentially Decreasing Distributions for the Logarithm of Particle Size

Barndorff-Nielsen, O.

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

1977

Language:

english

File:

PDF, 611 KB

english, 1977

48

Lévy Processes || Series Representations of Lévy Processes from the Perspective of Point Processes

Barndorff-Nielsen, Ole E., Resnick, Sidney I., Mikosch, Thomas

Year:

2001

Language:

english

File:

PDF, 1.41 MB

english, 2001

49

[Acta Mechanica Supplementum] Aeolian Grain Transport 1 Volume 1 || An analytic model of wind-blown sand transport

Barndorff-Nielsen, Ole E., Willetts, Brian B.

Year:

1991

Language:

english

File:

PDF, 1.79 MB

english, 1991

50

The Role of Significance Tests [with Discussion and Reply]

D. R. Cox, Emil Spjøtvoll, Søren Johansen, Willem R. van Zwet, J. F. Bithell, Ole Barndorff-Nielsen and M. Keuls

Journal:

Scandinavian Journal of Statistics

Year:

1977

Language:

english

File:

PDF, 3.66 MB

english, 1977

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