Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Professor

Ny Munkegade

Aarhus, DK 8000

Denmark

SCHOLARLY PAPERS

31

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SSRN CITATIONS
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Top 2,670

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177

CROSSREF CITATIONS

274

Scholarly Papers (31)

1.

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Number of pages: 46 Posted: 18 Nov 2004 Last Revised: 06 Apr 2008
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 1,525 (12,623)
Citation 188

Abstract:

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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling

2.

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Number of pages: 53 Posted: 02 Jul 2008 Last Revised: 14 Jul 2010
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 930 (26,634)
Citation 116

Abstract:

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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance

3.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 875 (29,067)
Citation 29

Abstract:

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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation

4.

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

Nuffield College Economics Working Paper No. 2005-W16
Number of pages: 55 Posted: 05 Jul 2005
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University
Downloads 847 (30,476)
Citation 26

Abstract:

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5.

Measuring Downside Risk - Realised Semivariance

CREATES Research Paper No. 2008-42
Number of pages: 24 Posted: 03 Sep 2008
Ole E. Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oxford and Harvard University
Downloads 784 (33,873)
Citation 40

Abstract:

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Market frictions, Quadratic variation, Realised variance, Semimartingale, Semivariance

6.

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

Nuffield College, Oxford, Working Paper No. 2002-W13
Number of pages: 42 Posted: 03 Jun 2002
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University
Downloads 500 (61,120)
Citation 57

Abstract:

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Power variation, Realised correlation, Realised covolatility, Realised regression, Realised variance, Semimartingales, Covolatility.

7.

Subsampling Realised Kernels

Number of pages: 30 Posted: 30 Aug 2006
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University
Downloads 367 (88,510)
Citation 15

Abstract:

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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling

8.

Stochastic Volatility of Volatility in Continuous Time

CREATES Research Paper 2009-25
Number of pages: 38 Posted: 09 Jun 2009
Ole E. Barndorff-Nielsen and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Imperial College London
Downloads 277 (120,549)
Citation 4

Abstract:

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stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, L´evy processes

9.

Modelling Electricity Forward Markets by Ambit Fields

Number of pages: 45 Posted: 05 Oct 2011
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 256 (130,914)
Citation 11

Abstract:

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Electricity Markets, Forward Prices, Random Fields, Ambit Fields, Levy Basis, Samuelson Effect, Stochastic Volatility

10.

Stochastic Volatility of Volatility and Variance Risk Premia

Number of pages: 38 Posted: 16 Dec 2011
Ole E. Barndorff-Nielsen and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Imperial College London
Downloads 226 (148,082)
Citation 1

Abstract:

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Stochastic volatility of volatility, Levy process, Ornstein-Uhlenbeck process, variance risk premium, supOU process

11.

Modelling Energy Spot Prices by Lévy Semistationary Processes

CREATES Research Paper 2010-18
Number of pages: 30 Posted: 03 May 2010
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 223 (149,971)
Citation 9

Abstract:

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Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price

12.

Ambit Processes and Stochastic Partial Differential Equations

CREATES Research Paper 2010-17
Number of pages: 37 Posted: 03 May 2010
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 156 (206,544)
Citation 3

Abstract:

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Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance

13.

Cross-Commodity Modelling by Multivariate Ambit Fields

Number of pages: 25 Posted: 21 Jan 2014
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 133 (235,107)

Abstract:

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Ambit fields, commodities, forward prices, spread options

14.

Modelling Energy Spot Prices by Volatility Modulated Lévy-Driven Volterra Processes

Number of pages: 38 Posted: 24 Feb 2013
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 109 (272,247)

Abstract:

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energy markets, forward price, generalised hyperbolic distribution, Lévy semistationary process, volatility modulated Lévy-driven Volterra process, stochastic integration, stochastic volatility, Samuelson effect, spot price

15.

The Multivariate SupOU Stochastic Volatility Model

CREATES Research Paper No. 2009-42
Number of pages: 23 Posted: 08 Dec 2009
Ole E. Barndorff-Nielsen
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Downloads 100 (288,784)
Citation 2

Abstract:

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factor modelling, Lévy bases, linear transformations, long memory, Ornstein-Uhlenbeck type process, second order moment structure, stochastic volatility

16.

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

Number of pages: 29 Posted: 26 Feb 2013
Ole E. Barndorff-Nielsen, Asger Lunde, Neil Shephard and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Aarhus University - School of Economics and Management, Harvard University and Imperial College London
Downloads 83 (324,877)
Citation 1

Abstract:

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Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change

17.

Multipower Variation for Brownian Semistationary Processes

CREATES Research Paper No. 2009-21
Number of pages: 47 Posted: 28 May 2009
Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona - Faculty of Mathematics and Aarhus University - School of Economics and Management
Downloads 68 (363,833)
Citation 10

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Central Limit Theorem, Gaussian Processes, Intermittency, Nonsemimartingales, Turbulence, Volatility, Wiener Chaos

18.

Bipower Variation for Gaussian Processes with Stationary Increments

Number of pages: 29 Posted: 22 Jun 2008
Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij and Jeanette Woerner
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona, Aarhus University - School of Economics and Management and affiliation not provided to SSRN
Downloads 57 (397,675)
Citation 13

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Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals

19.

Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes

CREATES Research Paper No. 2009-60
Number of pages: 28 Posted: 29 Dec 2009
Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona - Faculty of Mathematics and Aarhus University - School of Economics and Management
Downloads 34 (488,050)
Citation 2

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Brownian semi-stationary processes, central limit theorem, Gaussian processes, high frequency observations, higher order differences, multipower variation, stable convergence

20.

Realized Kernels in Practice: Trades and Quotes

Econometrics Journal, Vol. 21, 2009
Posted: 10 Mar 2010
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and Harvard University

Abstract:

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HAC estimator, Long run variance estimator, Market frictions, Quadratic

21.

Multipower Variation and Stochastic Volatility

Nuffield College Economics Working Paper No. 2004-W30
Posted: 06 Dec 2004
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

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22.

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Nuffield College Economics Working Paper No. 2004-W29
Posted: 06 Dec 2004
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Aarhus - Department of Mathematical Sciences, Université Paris VI Pierre et Marie Curie, University of Heidelberg - Institute of Applied Mathematics and Harvard University

Abstract:

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Central limit theorem, quadratic variation, bipower variation

23.

A Feasible Central Limit Theory for Realised Volatility Under Leverage

Nuffield College Economics Working Paper No. 2004-W3
Posted: 03 Feb 2004
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

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Euler approximation, Functional central limit theory, Quadratic variation, Realised volatility, Stochastic volatility

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Journal of Financial Econometrics, Vol. 4, No. 1, pp. 1-30, 2006
Posted: 29 Feb 2008
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

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bipower variation, jump process, quadratic variation, realized variance, semimartingales, stochastic volatility

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Nuffield College Economics Working Paper No. 2003-W21
Posted: 04 Nov 2003
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

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Bipower variation, Jump process, Quadratic variation, Realised variance, Semimartingales, Stochastic volatility

Power and Bipower Variation with Stochastic Volatility and Jumps

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 1-37, 2004
Posted: 29 Feb 2008
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

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bipower variation, integrated variance, jump process, power variation, quadratic variation, realized variance, realized volatility, semimartingale, volatility

Power and Bipower Variation with Stochastic Volatility and Jumps

Nuffield College, Oxford, Economics Working Paper No. 2003-W18
Posted: 25 Jun 2003
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

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Bipower variation, Integrated variance, Jump process, Power variation, Quadratic variation, Realised variance, Realised volatility, Semimartingale, Volatility

26.

Power Variation & Stochastic Volatility: A Review and Some New Results

Nuffield College, Oxford, Economics Working Paper No. 2003-W19
Posted: 28 May 2003
Ole E. Barndorff-Nielsen, Neil Shephard and Svend Erik Graversen
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Harvard University and University of Aarhus - Department of Mathematical Sciences

Abstract:

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Bipower, Mixed Gaussian limit, Power variation, Quadratic variation, Realised variance, Realised volatility, Stochastic volatility

27.

Realised Power Variation and Stochastic Volatility Models

Nuffield College, Economics Working Paper No. 2001-W18
Posted: 31 Aug 2001
Neil Shephard and Ole E. Barndorff-Nielsen
Harvard University and University of Aarhus - Thiele Centre, Department of Mathematical Sciences

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Absolute returns, Mixed asymptotic normality, Realised volatility, p-variation, Quadratic variation

28.

Apparent Scaling

Posted: 17 Apr 2001
Ole E. Barndorff-Nielsen and Karsten Prause
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and University of Freiburg

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NIG Levy processes, NIG shape triangle, normal inverse Gaussian distribution, scaling power laws, high-frequency data in finance

29.

Integrated Ou Processes

Nuffield College, Oxford, Economics WP No 2001-W1
Posted: 17 Jan 2001
Neil Shephard and Ole E. Barndorff-Nielsen
Harvard University and University of Aarhus - Thiele Centre, Department of Mathematical Sciences

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Background driving Levy process; Chronometer; Co-break; Econometrics; Integrated volatility; Kumulant function; Levy density; Levy process; Option pricing; OU processes; Stochastic volatility.

30.

Econometric Analysis of Realised Volatility and its Use in Estimating Levy Based Non-Gaussian Ou Type Stochastic Volatility Models

Nuffield College Working Paper No. 2000-W29
Posted: 03 Dec 2000
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

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31.

Processes of Normal Inverse Gaussian Type

Finance And Stochastics, Vol 2 No 1, 1998
Posted: 12 Feb 1998
Ole E. Barndorff-Nielsen
University of Aarhus - Thiele Centre, Department of Mathematical Sciences

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