Ole E. Barndorff–Nielsen

Top papers

• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

  Ole E. Barndorff–Nielsen, Neil Shephard·2002·Journal of the Royal Statistical Society Series B (Statistical Methodology)
  ↗ 2,299OA
• Power and Bipower Variation with Stochastic Volatility and Jumps

  Ole E. Barndorff–Nielsen·2004·Journal of Financial Econometrics
  ↗ 2,106
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

  Ole E. Barndorff–Nielsen, Neil Shephard·2001·Journal of the Royal Statistical Society Series B (Statistical Methodology)
  ↗ 1,883
• Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

  Ole E. Barndorff–Nielsen·2005·Journal of Financial Econometrics
  ↗ 1,385
• 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, et al.·2008·Econometrica
  ↗ 1,277
• Processes of normal inverse Gaussian type

  Ole E. Barndorff–Nielsen·1997·Finance and Stochastics
  ↗ 1,259
• Information and Exponential Families in Statistical Theory.

  J. F. C. Kingmán, Ole E. Barndorff–Nielsen·1979·Journal of the Royal Statistical Society Series A (General)
  ↗ 1,198
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

  Ole E. Barndorff–Nielsen, Neil Shephard·2004·Econometrica
  ↗ 946
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

  Ole E. Barndorff–Nielsen·1997·Scandinavian Journal of Statistics
  ↗ 937
• Exponentially decreasing distributions for the logarithm of particle size

  Ole E. Barndorff–Nielsen·1977·Proceedings of the Royal Society of London A Mathematical and Physical Sciences
  ↗ 823
• Asymptotic Techniques for Use in Statistics

  Ole E. Barndorff–Nielsen, D. R. Cox·1989
  ↗ 721
• Identification and Inference for Econometric Models

  Donald W. K. Andrews, Donald W. K. Andrews, Donald W. K. Andrews, et al.·2005·Cambridge University Press eBooks
  ↗ 713