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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

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

3

Processes of normal inverse Gaussian type

Ole E. Barndorff-Nielsen

Journal:

Finance and Stochastics

Year:

1997

Language:

english

File:

PDF, 239 KB

english, 1997

4

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

5

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

6

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

7

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

8

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

9

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

10

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

11

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

12

[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

13

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

14

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

15

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

16

Apparent scaling

Ole E. Barndorff-Nielsen, Karsten Prause

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 102 KB

english, 2001

17

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

18

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

19

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

20

[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

21

[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

22

[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

23

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

24

[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

25

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

26

[Realized Variance and Market Microstructure Noise]: Comment

Ole E. Barndorff-Nielsen and Neil Shephard

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 514 KB

english, 2006

27

Multivariate Subordination, Self-Decomposability and Stability

Ole E. Barndorff-Nielsen, Jan Pedersen and Ken-Iti Sato

Journal:

Advances in Applied Probability

Year:

2001

Language:

english

File:

PDF, 2.32 MB

english, 2001

28

Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

Ole Eiler Barndorff-Nielsen and Robert Stelzer

Journal:

Scandinavian Journal of Statistics

Year:

2005

Language:

english

File:

PDF, 2.01 MB

english, 2005

29

Comment

Barndorff-Nielsen, Ole E, Shephard, Neil

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 144 KB

english, 2006

30

Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

Barndorff-Nielsen, Ole E., Lunde, Asger, Shephard, Neil, Veraart, Almut E.D.

Journal:

Scandinavian Journal of Statistics

Year:

2014

Language:

english

File:

PDF, 962 KB

english, 2014

31

Finite-size scaling of two-point statistics and the turbulent energy cascade generators

Cleve, Jochen, Dziekan, Thomas, Schmiegel, Jürgen, Barndorff-Nielsen, Ole E., Pearson, Bruce R., Sreenivasan, Katepalli R., Greiner, Martin

Journal:

Physical Review E

Year:

2005

Language:

english

File:

PDF, 468 KB

english, 2005

32

Multipower variation for Brownian semistationary processes

Barndorff-Nielsen, Ole E., Corcuera, José Manuel, Podolskij, Mark

Journal:

Year:

2011

Language:

english

File:

PDF, 306 KB

english, 2011

33

Lévy Processes || Application of Generalized Hyperbolic Lévy Motions to Finance

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

Year:

2001

Language:

english

File:

PDF, 1.87 MB

english, 2001

34

Self-Decomposability and Lévy Processes in Free Probability

Ole. E. Barndorff-Nielsen and Steen Thorbjørnsen

Journal:

Year:

2002

Language:

english

File:

PDF, 4.10 MB

english, 2002

35

Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff-Nielsen and Neil Shephard

Journal:

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

Year:

2002

Language:

english

File:

PDF, 959 KB

english, 2002

36

On Quantum Statistical Inference

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

Journal:

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

Year:

2003

Language:

english

File:

PDF, 6.07 MB

english, 2003

37

Another Look at Robustness: A Review of Reviews and Some New Developments [with Discussion and Reply]

Peter J. Bickel, Sture Holm, Bengt Rosén, Emil Spjøtvoll, Steffen Lauritzen, Søren Johansen and Ole Barndorff-Nielsen

Journal:

Scandinavian Journal of Statistics

Year:

1976

Language:

english

File:

PDF, 3.95 MB

english, 1976

38

On the Limit Behaviour of Extreme Order Statistics

Barndorff-Nielsen, Ole

Journal:

The Annals of Mathematical Statistics

Year:

1963

File:

PDF, 827 KB

1963

39

Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics

Barndorff-Nielsen, Ole E., Shephard, Neil

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 1.17 MB

english, 2005

40

Modelling Energy Spot Prices by Lévy Semistationary Processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 272 KB

english, 2010

41

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

File:

PDF, 548 KB

1998

42

Congratulatory message

Barndorff-Nielsen, Ole E.

Journal:

Information Geometry

Year:

2018

File:

PDF, 285 KB

2018

43

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes

Ole E. Barndorff-Nielsen, Neil Shephard

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 687 KB

english, 2006

44

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 907 KB

english, 2011

45

Regularizing mappings of Lévy measures

Ole E. Barndorff-Nielsen, Steen Thorbjørnsen

Journal:

Stochastic Processes and their Applications

Year:

2006

Language:

english

File:

PDF, 294 KB

english, 2006

46

Power variation for Gaussian processes with stationary increments

Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 807 KB

english, 2009

47

The interplay between insurance, finance and control

Søren Asmussen, Ole.E. Barndorff-Nielsen

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 82 KB

english, 1998

48

Important areas for future statistical research

Ole E. Barndorff-Nielsen

Journal:

Statistics and Computing

Year:

1993

Language:

english

File:

PDF, 87 KB

english, 1993

49

Lévy homeomorphic parametrization and exponential families

Ole Barndorff-Nielsen

Journal:

Probability Theory and Related Fields

Year:

1969

Language:

english

File:

PDF, 112 KB

english, 1969

50

Infinite Divisibility for Stochastic Processes and Time Change

Ole E. Barndorff-Nielsen, Makoto Maejima, Ken-iti Sato

Journal:

Journal of Theoretical Probability

Year:

2006

Language:

english

File:

PDF, 292 KB

english, 2006

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