Edit Profile (opens in new tab) Barndorff-Nielsen, Ole Eiler Compute Distance To: Compute Author ID: barndorff-nielsen.ole-eiler Published as: Barndorff-Nielsen, Ole E.; Barndorff-Nielsen, O. E.; Barndorff-Nielsen, O.; Barndorff-Nielsen, Ole; Barndorff-Nielsen, Ole Eiler; Barndorff-Nielsen, Ole. E.; Barndorf-Nielsen, Ole E.; Nielsen-Barndorff, O. more...less External Links: MGP · Wikidata · ResearchGate · Math-Net.Ru · dblp · GND · IdRef Documents Indexed: 205 Publications since 1961, including 13 Books 10 Contributions as Editor · 2 Further Contributions Biographic References: 1 Publication Co-Authors: 86 Co-Authors with 161 Joint Publications 2,357 Co-Co-Authors all top 5 Co-Authors 53 single-authored 27 Shephard, Neil 20 Blæsild, Preben 10 Benth, Fred Espen 10 Cox, David Roxbee 9 Jupp, Peter E. 9 Schmiegel, Jürgen 9 Thorbjørnsen, Steen 7 Pérez-Abreu Carrión, Víctor M. 7 Veraart, Almut E. D. 6 Jensen, Jens Ledet 5 Klüppelberg, Claudia 5 Lunde, Asger 5 Podolskij, Mark 5 Sorensen, Michael 4 Corcuera, José Manuel 4 Graversen, Svend Erik 4 Hansen, Peter Reinhard 4 Jacod, Jean 4 Stelzer, Robert 3 Gill, Richard David 3 Kendall, Wilfrid S. 3 Sato, Ken-iti 3 Szozda, Benedykt 2 Chamberlin, Stephen Raymond 2 Halgreen, Christian 2 Hedevang, Emil 2 Hinkley, David V. 2 Jørgensen, Bent Søren 2 Koudou, Angelo Efoévi 2 Leonenko, Nikolai N. 2 Maejima, Makoto 2 McCullagh, Peter 2 Pedersen, Karl R. 2 Reid, Nancy M. 2 Rydberg, Tina Hviid 2 Schou, Geert 2 Shiryaev, Al’bert Nikolaevich 2 Vedel Jensen, Eva Bjørn 1 Amari, Shun-ichi 1 Arizmendi, Octavio 1 Armitage, Peter 1 Asmussen, Søren 1 Atkinson, Anthony C. 1 Barnard, George A. 1 Basse-O’Connor, Andreas 1 Baxter, Glen Earl 1 Bertoin, Jean 1 Birnbaum, Allan 1 Bloomfield, Peter 1 Carey, Alan L. 1 Darroch, John N. 1 Davison, Anthony C. 1 Eriksen, Poul Svante 1 Firth, David 1 Hall, Peter Gavin 1 Hoffmann-Jørgensen, Jørgen 1 Hubalek, Friedrich 1 Isham, Valerie S. 1 James, Ian Robert 1 Jónsdóttir, Kristjana Ýr 1 Kalbfleisch, John D. 1 Kass, Robert E. 1 Kent, John T. 1 Kinnebrock, Silja 1 Kumar Gupta, Vijay 1 Kvist, H. K. 1 Lauritzen, Steffen Lilholt 1 Leigh, George M. 1 Levendorskiĭ, Sergeĭ Zakharovich 1 Linder, Alexander M. 1 Loubenets, Elena R. 1 Maejima, Maejima 1 McLaren, A. D. 1 Mikosch, Thomas 1 Murray, Michael K. 1 Nicolato, Elisa 1 Nielsen, Bent 1 Oakes, David 1 Pakkanen, Mikko S. 1 Pedersen, Bo V. 1 Pollard, David G. 1 Prause, Karsten 1 Rao, Calyampudi Radhakrishna 1 Resnick, Sidney Ira 1 Rocha-Arteaga, Alfonso 1 Rosiński, Jan 1 Sauri, Orimar 1 Schmidli, Hanspeter 1 Seshadri, Vanamamalai 1 Snell, E. J. 1 Sobel, Milton 1 van Lieshout, Marie-Colette N. M. 1 Waymire, Edward C. 1 Winkel, Matthias 1 Woerner, Jeannette H. C. 1 Wood, Andrew T. A. 1 Y, G. F. 1 Ysusi, Carla all top 5 Serials 18 Scandinavian Journal of Statistics 12 Biometrika 10 Bernoulli 9 Theory of Probability and its Applications 8 Journal of the Royal Statistical Society. Series B 7 Advances in Applied Probability 7 Stochastic Processes and their Applications 6 The Annals of Statistics 6 Monographs on Statistics and Applied Probability 5 Journal of Applied Probability 5 Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences 4 International Statistical Review 4 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 3 Journal of Econometrics 3 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 3 Journal of the Royal Statistical Society. Series B. Statistical Methodology 3 Quantitative Finance 3 Advanced Series on Statistical Science & Applied Probability 3 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Teoriya Veroyatnosteĭ i eë Primeneniya 2 Annals of the Institute of Statistical Mathematics 2 Econometrica 2 Journal of Multivariate Analysis 2 Mathematica Scandinavica 2 Acta Applicandae Mathematicae 2 Journal of Theoretical Probability 2 Journal of Physics A: Mathematical and General 2 Proceedings of the National Academy of Sciences of the United States of America 2 Finance and Stochastics 2 Infinite Dimensional Analysis, Quantum Probability and Related Topics 2 Brazilian Journal of Probability and Statistics 2 Lecture Notes in Statistics 1 Acta Mathematica Academiae Scientiarum Hungaricae 1 The Canadian Journal of Statistics 1 Journal of Mathematical Analysis and Applications 1 Russian Mathematical Surveys 1 Indian Journal of Mathematics 1 Journal of Statistical Planning and Inference 1 Sankhyā. Series A. Methods and Techniques 1 Scandinavian Actuarial Journal 1 Transactions of the American Mathematical Society 1 Advances in Applied Mathematics 1 Insurance Mathematics & Economics 1 Probability and Mathematical Statistics 1 Probability Theory and Related Fields 1 Statistical Science 1 REBRAPE 1 The Annals of Applied Probability 1 Computational Statistics and Data Analysis 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 Mathematical Finance 1 The Econometrics Journal 1 Methodology and Computing in Applied Probability 1 Econometric Theory 1 Stochastic Models 1 Oberwolfach Reports 1 Communications in Statistics 1 Institute of Mathematical Statistics Lecture Notes - Monograph Series 1 Lecture Notes in Mathematics 1 Various Publications Series. Aarhus Universitet 1 Electronic Journal of Statistics 1 Annals of Mathematical Statistics 1 Probability Theory and Stochastic Modelling 1 Wiley Series in Probability and Statistics all top 5 Fields 127 Statistics (62-XX) 111 Probability theory and stochastic processes (60-XX) 36 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Differential geometry (53-XX) 11 General and overarching topics; collections (00-XX) 11 Quantum theory (81-XX) 9 Fluid mechanics (76-XX) 5 Functional analysis (46-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 3 Global analysis, analysis on manifolds (58-XX) 3 Statistical mechanics, structure of matter (82-XX) 3 Information and communication theory, circuits (94-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Special functions (33-XX) 2 Numerical analysis (65-XX) 1 Group theory and generalizations (20-XX) 1 Approximations and expansions (41-XX) 1 Operator theory (47-XX) 1 Geometry (51-XX) 1 Computer science (68-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX) 1 Astronomy and astrophysics (85-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 195 Publications have been cited 6,377 times in 3,846 Documents Cited by ▼ Year ▼ Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). Zbl 0983.60028Barndorff-Nielsen, Ole E.; Shephard, Neil 600 2001 Information and exponential families in statistical theory. Zbl 0387.62011Barndorff-Nielsen, O. 377 1978 Processes of normal inverse Gaussian type. Zbl 0894.90011Barndorff-Nielsen, Ole E. 371 1998 Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1059.62107Barndorff-Nielsen, Ole E.; Shephard, Neil 343 2002 Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Zbl 1153.91416Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 254 2008 Normal inverse Gaussian distributions and stochastic volatility modelling. Zbl 0934.62109Barndorff-Nielsen, Ole E. 205 1997 Inference and asymptotics. Zbl 0826.62004Barndorff-Nielsen, O. E.; Cox, D. R. 186 1994 Asymptotic techniques for use in statistics. Zbl 0672.62024Barndorff-Nielsen, O. E.; Cox, D. R. 177 1989 Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Zbl 1141.91634Barndorff-Nielsen, Ole E.; Shephard, Neil 152 2004 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 128 2011 On a formula for the distribution of the maximum likelihood estimator. Zbl 0532.62006Barndorff-Nielsen, O. 123 1983 Inference on full or partial parameters based on the standardized signed log likelihood ratio. Zbl 0605.62020Barndorff-Nielsen, O. E. 109 1986 Modified signed log likelihood ratio. Zbl 1192.62052Barndorff-Nielsen, O. E. 108 1991 Normal variance-mean mixtures and z distributions. Zbl 0497.62019Barndorff-Nielsen, O.; Kent, J.; Sorensen, M. 105 1982 Hyperbolic distributions and distributions on hyperbolae. Zbl 0386.60018Barndorff-Nielsen, O. 93 1978 Modelling by Lévy processes for financial econometrics. Zbl 0991.62089Barndorff-Nielsen, Ole E.; Shephard, Neil 92 2001 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 90 2006 Superposition of Ornstein-Uhlenbeck type processes. Zbl 1003.60039Barndorff-Nielsen, O. E. 76 2000 Differential geometry in statistical inference. Zbl 0694.62001Amari, S.-I.; Barndorff-Nielsen, O. E.; Kass, R. E.; Lauritzen, S. L.; Rao, C. R. 72 1987 Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions. Zbl 0403.60026Nielsen-Barndorff, O.; Halgreen, Christian 71 1977 Edgeworth and saddle-point approximations with statistical applications. Zbl 0424.62010Barndorff-Nielsen, O.; Cox, D. R. 67 1979 Power variation and time change. Zbl 1095.60023Barndorff-Nielsen, O. E.; Shephard, N. 66 2006 Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias 66 2006 Multivariate subordination, self-decomposability and stability. Zbl 0982.60046Barndorff-Nielsen, Ole E.; Pedersen, Jan; Sato, Ken-iti 62 2001 Realized kernels in practise : trades and quotes. Zbl 1179.91259Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. 59 2009 On the parametrization of autoregressive models by partial autocorrelations. Zbl 0275.62074Barndorff-Nielsen, O.; Schou, G. 50 1973 Conditionality resolutions. Zbl 0434.62005Barndorff-Nielsen, O. 48 1980 On the level-error after Bartlett adjustment of the likelihood ratio statistic. Zbl 0638.62019Barndorff-Nielsen, O. E.; Hall, Peter 47 1988 Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations. Zbl 1102.60013Barndorff-Nielsen, Ole E.; Maejima, Maejima; Sato, Ken-Iti 46 2006 Some stationary processes in discrete and continuous time. Zbl 0930.60026Barndorff-Nielsen, O. E.; Jensen, J. L.; Sørensen, M. 45 1998 Change of time and change of measure. Zbl 1234.60003Barndorff-Nielsen, Ole; Shiryaev, Albert 44 2010 Lévy processes. Theory and applications. Zbl 0961.00012 43 2001 Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Zbl 1051.60048Barndorff-Nielsen, Ole E.; Shephard, Neil 42 2003 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 42 2006 Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 40 2013 On quantum statistical inference. Zbl 1059.62128Barndorff-Nielsen, Ole E.; Gill, Richard D.; Jupp, Peter E. 39 2003 Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014Barndorff-Nielsen, O. E.; Leonenko, N. N. 39 2005 On the limit behaviour of extreme order statistics. Zbl 0119.15004Barndorff-Nielsen, O. 39 1963 On the rate of growth of the partial maxima of a sequence of independent identically distributed random variables. Zbl 0209.20104Barndorff-Nielsen, O. 38 1961 Multipower variation for Brownian semistationary processes. Zbl 1244.60039Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 35 2011 Realized power variation and stochastic volatility models. Zbl 1026.60054Barndorff-Nielsen, Ole E.; Shephard, Neil 35 2003 Prediction and asymptotics. Zbl 0870.62008Barndorff-Nielsen, O. E.; Cox, David R. 35 1996 Power variation for Gaussian processes with stationary increments. Zbl 1165.60017Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 34 2009 Lévy-based spatial-temporal modelling, with applications to turbulence. Zbl 1062.60039Barndorff-Nielsen, O. E.; Schmiegel, J. 33 2003 Multivariate supOU processes. Zbl 1235.60032Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 32 2011 Some parametric models on the simplex. Zbl 0739.62015Barndorff-Nielsen, O. E.; Jørgensen, Bent 31 1991 Brownian semistationary processes and volatility/intermittency. Zbl 1195.60053Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 31 2009 Bartlett adjustments to the likelihood ratio statistic and the distribution of the maximum likelihood estimator. Zbl 0581.62016Barndorff-Nielsen, O. E.; Cox, D. R. 31 1984 Information and exponential families in statistical theory. Reprint of the 1978 edition. Zbl 1288.62007Barndorff-Nielsen, Ole E. 29 2014 Ambit processes; with applications to turbulence and tumour growth. Zbl 1155.92020Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 29 2007 Normal modified stable processes. Zbl 1026.60058Barndorff-Nielsen, Ole E.; Shepard, Neil 28 2001 First hitting time models for the generalized inverse Gaussian distribution. Zbl 0373.60101Barndorff-Nielsen, O.; Blaesild, P.; Halgreen, C. 28 1978 Quasi Ornstein-Uhlenbeck processes. Zbl 1233.60020Barndorff-Nielsen, Ole E.; Basse-O’Connor, Andreas 26 2011 Parametric statistical models and likelihood. Zbl 0691.62002Barndorff-Nielsen, Ole E. 25 1988 Positive-definite matrix processes of finite variation. Zbl 1128.60053Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 25 2007 On the distribution of the number of admissible points in a vector random sample. Zbl 0278.60007Barndorff-Nielsen, O.; Sobel, Milton 25 1966 Fisher information in quantum statistics. Zbl 1004.81006Barndorff-Nielsen, O. E.; Gill, R. D. 24 2000 Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 24 2015 A review of some aspects of asymptotic likelihood theory for stochastic processes. Zbl 0828.62078Barndorff-Nielsen, O. E.; Sørensen, M. 23 1994 Self-decomposability and Lévy processes in free probability. Zbl 1024.60022Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 23 2002 Hyperbolic distributions and ramifications: Contributions to theory and application. Zbl 0489.62020Barndorff-Nielsen, O.; Blaesild, P. 23 1981 Variation, jumps and high-frequency data in financial econometrics. Zbl 1157.91017Barndorff-Nielsen, Ole E.; Shephard, Neil 22 2007 Ambit processes and stochastic partial differential equations. Zbl 1239.91188Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 22 2011 The multivariate supOU stochastic volatility model. Zbl 1262.91139Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 22 2013 Identifiability of mixtures of exponential families. Zbl 0138.12105Barndorff-Nielsen, O. 21 1965 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes. Zbl 1337.62342Barndorff-Nielsen, Ole E.; Shephard, Neil 20 2006 On the limit distribution of the maximum of a random number of independent random variables. Zbl 0135.19206Barndorff-Nielsen, O. 20 1964 Modelling electricity futures by ambit fields. Zbl 1304.91213Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 19 2014 Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil 19 2012 Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. Zbl 1273.60021Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 19 2013 Time change, volatility, and turbulence. Zbl 1157.60043Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 19 2008 Models for non-Gaussian variation, with applications to turbulence. Zbl 0418.60022Barndorff-Nielsen, O. 18 1979 Exponential transformation models. Zbl 0478.62005Barndorff-Nielsen, O.; Blaesild, P.; Jensen, J. Ledet; Jørgensen, Bent 18 1982 Classical and free infinite divisibility and Lévy processes. Zbl 1130.81044Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 17 2006 The role of differential geometry in statistical theory. Zbl 0587.62060Barndorff-Nielsen, O. E.; Cox, D. R.; Reid, N. 17 1986 Apparent scaling. Zbl 0976.60047Barndorff-Nielsen, Ole E.; Prause, Karsten 17 2001 Matrix subordinators and related upsilon transformations. Zbl 1152.60017Barndorff-Nielsen, O. E.; Pérez-Abreu, V. 17 2008 Measuring downside risk – realized semivariance. Zbl 1229.91154Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil 16 2010 A connection between free and classical infinite divisibility. Zbl 1059.60017Barndorff-Nielsen, O. E.; Thorbjørnsen, S. 16 2004 Integer-valued trawl processes: a class of stationary infinitely divisible processes. Zbl 1309.60033Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. 15 2014 Stationary infinitely divisible processes. Zbl 1244.60037Barndorff-Nielsen, Ole E. 15 2011 Likelihood and observed geometries. Zbl 0632.62028Barndorff-Nielsen, O. E. 15 1986 Stable and invariant adjusted directed likelihoods. Zbl 0812.62030Barndorff-Nielsen, O. E.; Chamberlin, S. R. 15 1994 Burgers’ turbulence problem with linear or quadratic external potential. Zbl 1082.60056Barndorff-Nielsen, O. E.; Leonenko, N. N. 15 2005 Decomposition and invariance of measures, and statistical transformation models. Zbl 1088.62500Barndorff-Nielsen, Ole E.; Blæsild, Preben; Eriksen, Poul Svante 14 1989 Subsampling realised kernels. Zbl 1441.62598Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 14 2011 Adjusted versions of profile likelihood and directed likelihood, and extended likelihood. Zbl 0798.62005Barndorff-Nielsen, O. E. 14 1994 Stationary and self-similar processes driven by Lévy processes. Zbl 0996.60050Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor 14 1999 Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter 13 1995 Ambit stochastics. Zbl 1472.60002Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 13 2018 Assessing relative volatility/ intermittency/energy dissipation. Zbl 1302.60115Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen 13 2014 How accurate is the asymptotic approximation to the distribution of realised variance? Zbl 1121.62018Barndorff-Nielsen, Ole E.; Shephard, Neil 13 2005 Infinite divisibility for stochastic processes and time change. Zbl 1111.60028Barndorff-Nielsen, Ole E.; Maejima, Makoto; Sato, Ken-iti 13 2006 A note on electrical networks and the inverse Gaussian distribution. Zbl 0792.60015Barndorff-Nielsen, O. E. 13 1994 Cuts in natural exponential families. Zbl 0852.62019Barndorff-Nielsen, O. E.; Koudou, A. E. 13 1995 Bipower variation for Gaussian processes with stationary increments. Zbl 1176.60029Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark; Woerner, Jeannette H. C. 13 2009 Reproductive exponential families. Zbl 0529.62016Barndorff-Nielsen, O.; Blaesild, P. 13 1983 Lévy laws in free probability. Zbl 1063.46053Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 13 2002 On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E. D. 13 2014 Feller processes of normal inverse Gaussian type. Zbl 1405.91582Barndorff-Nielsen, O. E.; Levendorskii, S. Z. 12 2001 Ambit stochastics. Zbl 1472.60002Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 13 2018 Selfdecomposable fields. Zbl 1423.60034Barndorff-Nielsen, Ole E.; Sauri, Orimar; Szozda, Benedykt 3 2017 Some recent developments in ambit stochastics. Zbl 1382.60003Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt 6 2016 Gamma kernels and BSS/LSS processes. Zbl 1369.60039Barndorff-Nielsen, Ole E. 3 2016 Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 24 2015 Change of time and change of measure. 2nd edition. Zbl 1316.60004Barndorff-Nielsen, Ole E.; Shiryaev, Albert 7 2015 Information and exponential families in statistical theory. Reprint of the 1978 edition. Zbl 1288.62007Barndorff-Nielsen, Ole E. 29 2014 Modelling electricity futures by ambit fields. Zbl 1304.91213Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 19 2014 Integer-valued trawl processes: a class of stationary infinitely divisible processes. Zbl 1309.60033Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. 15 2014 Assessing relative volatility/ intermittency/energy dissipation. Zbl 1302.60115Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen 13 2014 On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E. D. 13 2014 On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. Zbl 1291.60109Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt 10 2014 Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 40 2013 The multivariate supOU stochastic volatility model. Zbl 1262.91139Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 22 2013 Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. Zbl 1273.60021Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 19 2013 Lévy mixing. Zbl 1288.60020Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor; Thorbjørnsen, Steen 5 2013 Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil 19 2012 Meta-times and extended subordination. Zbl 1260.60088Barndorff-Nielsen, O. E.; Pedersen, J. 8 2012 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 128 2011 Multipower variation for Brownian semistationary processes. Zbl 1244.60039Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 35 2011 Multivariate supOU processes. Zbl 1235.60032Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 32 2011 Quasi Ornstein-Uhlenbeck processes. Zbl 1233.60020Barndorff-Nielsen, Ole E.; Basse-O’Connor, Andreas 26 2011 Ambit processes and stochastic partial differential equations. Zbl 1239.91188Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 22 2011 Stationary infinitely divisible processes. Zbl 1244.60037Barndorff-Nielsen, Ole E. 15 2011 Subsampling realised kernels. Zbl 1441.62598Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 14 2011 Volatility determination in an ambit process setting. Zbl 1251.60043Barndorff-Nielsen, Ole E.; Graversen, Svend Erik 5 2011 Change of time and change of measure. Zbl 1234.60003Barndorff-Nielsen, Ole; Shiryaev, Albert 44 2010 Measuring downside risk – realized semivariance. Zbl 1229.91154Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil 16 2010 On free and classical type \(G\) distributions. Zbl 1209.62010Arizmendi, Octavio; Barndorff-Nielsen, Ole E.; Pérez-Abreu, Víctor 6 2010 Realized kernels in practise : trades and quotes. Zbl 1179.91259Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. 59 2009 Power variation for Gaussian processes with stationary increments. Zbl 1165.60017Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 34 2009 Brownian semistationary processes and volatility/intermittency. Zbl 1195.60053Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 31 2009 Bipower variation for Gaussian processes with stationary increments. Zbl 1176.60029Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark; Woerner, Jeannette H. C. 13 2009 Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Zbl 1153.91416Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 254 2008 Time change, volatility, and turbulence. Zbl 1157.60043Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 19 2008 Matrix subordinators and related upsilon transformations. Zbl 1152.60017Barndorff-Nielsen, O. E.; Pérez-Abreu, V. 17 2008 General \(\Upsilon\)-transformations. Zbl 1168.60007Barndorff-Nielsen, Ole E.; Rosinski, Jan; Thorbjørnsen, Steen 10 2008 A stochastic differential equation framework for the timewise dynamics of turbulent velocities. Zbl 1148.76025Barndorff-Nielsen, O. E.; Schmiegel, J. 8 2008 Probability measures, Lévy measures and analyticity in time. Zbl 1162.60013Barndorff-Nielsen, Ole E.; Hubalek, Friedrich 7 2008 Semigroups of Upsilon transformations. Zbl 1154.60309Barndorff-Nielsen, Ole E.; Maejima, Makoto 1 2008 Ambit processes; with applications to turbulence and tumour growth. Zbl 1155.92020Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 29 2007 Positive-definite matrix processes of finite variation. Zbl 1128.60053Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 25 2007 Variation, jumps and high-frequency data in financial econometrics. Zbl 1157.91017Barndorff-Nielsen, Ole E.; Shephard, Neil 22 2007 Spatio-temporal modelling – with a view to biological growth. Zbl 1122.62080Jensen, Eva B. Vedel; Jónsdóttir, Kristjana Ýr; Schmiegel, Jürgen; Barndorff-Nielsen, Ole E. 11 2007 Lévy copulas: dynamics and transforms of upsilon type. Zbl 1141.60022Barndorff-Nielsen, Ole E.; Linder, Alexander M. 9 2007 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 90 2006 Power variation and time change. Zbl 1095.60023Barndorff-Nielsen, O. E.; Shephard, N. 66 2006 Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias 66 2006 Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations. Zbl 1102.60013Barndorff-Nielsen, Ole E.; Maejima, Maejima; Sato, Ken-Iti 46 2006 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 42 2006 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes. Zbl 1337.62342Barndorff-Nielsen, Ole E.; Shephard, Neil 20 2006 Classical and free infinite divisibility and Lévy processes. Zbl 1130.81044Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 17 2006 Infinite divisibility for stochastic processes and time change. Zbl 1111.60028Barndorff-Nielsen, Ole E.; Maejima, Makoto; Sato, Ken-iti 13 2006 Regularizing mappings of Lévy measures. Zbl 1110.60007Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 7 2006 Mat\(G\) random matrices. Zbl 1108.60005Barndorff-Nielsen, Ole E.; Pérez-Abreu, Víctor; Rocha-Arteaga, Alfonso 3 2006 Multipower variation and stochastic volatility. Zbl 1144.60314Barndorff-Nielsen, Ole E.; Shephard, Neil 2 2006 Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014Barndorff-Nielsen, O. E.; Leonenko, N. N. 39 2005 Burgers’ turbulence problem with linear or quadratic external potential. Zbl 1082.60056Barndorff-Nielsen, O. E.; Leonenko, N. N. 15 2005 How accurate is the asymptotic approximation to the distribution of realised variance? Zbl 1121.62018Barndorff-Nielsen, Ole E.; Shephard, Neil 13 2005 Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy processes. Zbl 1088.60005Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 11 2005 The Lévy-Itô decomposition in free probability. Zbl 1082.46043Barndorff-Nielsen, O. E.; Thorbjørnsen, S. 10 2005 Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1126.91357Barndorff-Nielsen, Ole E.; Shephard, Neil 1 2005 Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Zbl 1141.91634Barndorff-Nielsen, Ole E.; Shephard, Neil 152 2004 A connection between free and classical infinite divisibility. Zbl 1059.60017Barndorff-Nielsen, O. E.; Thorbjørnsen, S. 16 2004 Power variation and stochastic volatility: a review and some new results. Zbl 1070.91018Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Shephard, Neil 8 2004 Measuring and forecasting financial variability using realised variance. Zbl 05280147Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil; Ysusi, Carla 2 2004 Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Zbl 1051.60048Barndorff-Nielsen, Ole E.; Shephard, Neil 42 2003 On quantum statistical inference. Zbl 1059.62128Barndorff-Nielsen, Ole E.; Gill, Richard D.; Jupp, Peter E. 39 2003 Realized power variation and stochastic volatility models. Zbl 1026.60054Barndorff-Nielsen, Ole E.; Shephard, Neil 35 2003 Lévy-based spatial-temporal modelling, with applications to turbulence. Zbl 1062.60039Barndorff-Nielsen, O. E.; Schmiegel, J. 33 2003 Realized power variation and stochastic volatility model. Zbl 1039.60046Barndorff-Nielsen, Ole E.; Shephard, Neil 8 2003 Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1059.62107Barndorff-Nielsen, Ole E.; Shephard, Neil 343 2002 Self-decomposability and Lévy processes in free probability. Zbl 1024.60022Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 23 2002 Lévy laws in free probability. Zbl 1063.46053Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 13 2002 Some recent developments in stochastic volatility modelling. Zbl 1405.91583Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil 10 2002 Lévy processes in free probability. Zbl 1063.46052Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 10 2002 Extensions of type G and marginal infinite divisibility. Zbl 1032.60012Barndorff-Nielsen, O. E.; Pérez-Abreu, V. 8 2002 General framework for the behaviour of continuously observed open quantum systems. Zbl 1041.81008Barndorff-Nielsen, Ole E.; Loubenets, Elena R. 1 2002 Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). Zbl 0983.60028Barndorff-Nielsen, Ole E.; Shephard, Neil 600 2001 Modelling by Lévy processes for financial econometrics. Zbl 0991.62089Barndorff-Nielsen, Ole E.; Shephard, Neil 92 2001 Multivariate subordination, self-decomposability and stability. Zbl 0982.60046Barndorff-Nielsen, Ole E.; Pedersen, Jan; Sato, Ken-iti 62 2001 Lévy processes. Theory and applications. Zbl 0961.00012 43 2001 Normal modified stable processes. Zbl 1026.60058Barndorff-Nielsen, Ole E.; Shepard, Neil 28 2001 Apparent scaling. Zbl 0976.60047Barndorff-Nielsen, Ole E.; Prause, Karsten 17 2001 Feller processes of normal inverse Gaussian type. Zbl 1405.91582Barndorff-Nielsen, O. E.; Levendorskii, S. Z. 12 2001 Laser cooling and stochastics. Zbl 1371.82072Barndorff-Nielsen, O. E.; Benth, F. E. 3 2001 Complex stochastic systems. Zbl 0948.00013 1 2001 Superposition of Ornstein-Uhlenbeck type processes. Zbl 1003.60039Barndorff-Nielsen, O. E. 76 2000 Fisher information in quantum statistics. Zbl 1004.81006Barndorff-Nielsen, O. E.; Gill, R. D. 24 2000 Exact distributional results for random resistance trees. Zbl 0944.60036Barndorff-Nielsen, Ole E.; Rydberg, Tina Hviid 1 2000 Stationary and self-similar processes driven by Lévy processes. Zbl 0996.60050Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor 14 1999 Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008Barndorff-Nielsen, O. E.; Klüppelberg, C. 6 1999 L-nonformation, L-ancillarity, and L-sufficiency. Zbl 0990.62002Barndorff-Nielsen, O. E. 2 1999 Geometry in present day science. Proceedings of the conference, Aarhus, Denmark, January 16–18, 1997. Zbl 0923.00020 1 1999 Processes of normal inverse Gaussian type. Zbl 0894.90011Barndorff-Nielsen, Ole E. 371 1998 Some stationary processes in discrete and continuous time. Zbl 0930.60026Barndorff-Nielsen, O. E.; Jensen, J. L.; Sørensen, M. 45 1998 Probability and statistics: self-decomposability, finance and turbulence. Zbl 1044.62501Barndorff-Nielsen, Ole E. 10 1998 Trees with random conductivities and the (reciprocal) inverse Gaussian distribution. Zbl 0912.60017Barndorff-Nielsen, O. E.; Koudou, A. E. 10 1998 On large deviations and choice of ancillary for \(p^*\) and \(r^*\). Zbl 0894.62026Barndorff-Nielsen, Ole E.; Wood, Andrew T. A. 5 1998 Stochastic geometry. Likelihood and computation. Papers given at the 3rd Séminaire Européen de Statistique, Toulouse, France, May 13–18, 1996. Zbl 0935.62108 1 1998 ...and 95 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,502 Authors 58 Barndorff-Nielsen, Ole Eiler 46 Benth, Fred Espen 40 Leonenko, Nikolai N. 32 Podolskij, Mark 31 Madan, Dilip B. 27 Todorov, Viktor 27 Wong, Augustine C. M. 25 Veraart, Almut E. D. 24 Mykland, Per Aslak 23 Fraser, Donald A. S. 23 Jacod, Jean 20 Ventura, Laura 19 Klüppelberg, Claudia 19 Reid, Nancy M. 18 Bollerslev, Tim 18 Levendorskiĭ, Sergeĭ Zakharovich 18 Maejima, Makoto 18 Shephard, Neil 18 Zhang, Xinsheng 17 Cribari-Neto, Francisco 16 Ferrari, Silvia Lopes de Paula 16 Stelzer, Robert 16 Tauchen, George E. 15 Kallsen, Jan 14 Balakrishnan, Narayanaswamy 14 Liu, Zhi 14 Vetter, Mathias 14 Wang, Yazhen 13 Meddahi, Nour 13 Pommeret, Denys 12 Cordeiro, Gauss Moutinho 12 Jupp, Peter E. 12 Kárný, Miroslav 12 Kong, Xinbing 12 Letac, Gérard G. 12 Lin, Tsung I. 12 Lunde, Asger 12 Masmoudi, Afif 12 Sorensen, Michael 12 Tankov, Peter 12 Vidoni, Paolo 12 Yoshida, Nakahiro 11 Aït-Sahalia, Yacine 11 Andersen, Torben G. 11 Bar-Lev, Shaul K. 11 Bibinger, Markus 11 Figueroa-López, José E. 11 Jamalizadeh, Ahad 11 Kim, Donggyu 11 Li, Yingying 11 Pakkanen, Mikko S. 11 Taqqu, Murad S. 11 Wu, Jianrong 11 Zhang, Lan 11 Zhang, Shibin 10 Corcuera, José Manuel 10 Gatto, Riccardo 10 Gloter, Arnaud 10 Kokonendji, Célestin Clotaire 10 Korolev, Viktor Yur’evich 10 Li, Lingfei 10 Ma, Chunsheng 10 Massam, Helene M. 10 Masuda, Hiroki 10 McAleer, Michael 10 Patton, Andrew J. 10 Pérez-Abreu Carrión, Víctor M. 10 Sartori, Nicola 10 Sato, Ken-iti 10 Schoutens, Wim 10 Stepanov, Aleksei Vasil’evich 10 Xiu, Dacheng 10 Yor, Marc 10 Young, G. Alastair 9 Belomestny, Denis 9 Christensen, Kim 9 Devroye, Luc P. J. A. 9 Eberlein, Ernst W. 9 Fan, Jianqing 9 Jing, Bingyi 9 Jørgensen, Bent Søren 9 Kakizawa, Yoshihide 9 Kawai, Reiichiro 9 Landsman, Zinoviy M. 9 Lindner, Alexander M. 9 Linetsky, Vadim 9 Mancino, Maria Elvira 9 McNicholas, Paul D. 9 Rekkas, Marie 9 Semeraro, Patrizia 9 Sgarra, Carlo 9 Shi, Yimin 9 Zhang, Fode 8 Asai, Manabu 8 Basse-O’Connor, Andreas 8 Bondesson, Lennart 8 Brockwell, Peter J. 8 Carr, Peter Paul 8 DiCiccio, Thomas J. 8 Elliott, Robert James ...and 4,402 more Authors all top 5 Cited in 384 Serials 216 Journal of Econometrics 181 Statistics & Probability Letters 161 Journal of Statistical Planning and Inference 138 Stochastic Processes and their Applications 132 Quantitative Finance 127 Computational Statistics and Data Analysis 121 Journal of Multivariate Analysis 105 Communications in Statistics. 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Series A 8 Communications in Mathematical Physics 8 Journal of Mathematical Physics 8 Scandinavian Actuarial Journal 8 Mathematical Methods of Statistics 8 European Actuarial Journal 7 International Statistical Review 7 Probability and Mathematical Statistics 7 Sequential Analysis 7 International Journal of Approximate Reasoning 7 Mathematical and Computer Modelling 7 Theory of Probability and Mathematical Statistics ...and 284 more Serials all top 5 Cited in 57 Fields 2,501 Statistics (62-XX) 1,657 Probability theory and stochastic processes (60-XX) 1,009 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 369 Numerical analysis (65-XX) 76 Quantum theory (81-XX) 70 Functional analysis (46-XX) 70 Systems theory; control (93-XX) 69 Differential geometry (53-XX) 53 Information and communication theory, circuits (94-XX) 51 Partial differential equations (35-XX) 50 Computer science (68-XX) 44 Operations research, mathematical programming (90-XX) 41 Statistical mechanics, structure of matter (82-XX) 38 Biology and other natural sciences (92-XX) 35 Combinatorics (05-XX) 35 Special functions (33-XX) 30 Operator theory (47-XX) 27 Harmonic analysis on Euclidean spaces (42-XX) 23 Real functions (26-XX) 23 Dynamical systems and ergodic theory (37-XX) 22 Integral transforms, operational calculus (44-XX) 21 Linear and multilinear algebra; matrix theory (15-XX) 17 Integral equations (45-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 16 Convex and discrete geometry (52-XX) 14 Approximations and expansions (41-XX) 14 Fluid mechanics (76-XX) 13 Global analysis, analysis on manifolds (58-XX) 12 Geophysics (86-XX) 10 Ordinary differential equations (34-XX) 9 Number theory (11-XX) 8 History and biography (01-XX) 8 Measure and integration (28-XX) 7 Group theory and generalizations (20-XX) 5 Functions of a complex variable (30-XX) 5 Several complex variables and analytic spaces (32-XX) 5 Mechanics of deformable solids (74-XX) 4 General and overarching topics; collections (00-XX) 4 Abstract harmonic analysis (43-XX) 4 Mechanics of particles and systems (70-XX) 4 Astronomy and astrophysics (85-XX) 3 Algebraic geometry (14-XX) 3 Potential theory (31-XX) 3 Sequences, series, summability (40-XX) 3 Geometry (51-XX) 3 Classical thermodynamics, heat transfer (80-XX) 3 Relativity and gravitational theory (83-XX) 2 Commutative algebra (13-XX) 2 Associative rings and algebras (16-XX) 2 Nonassociative rings and algebras (17-XX) 2 Topological groups, Lie groups (22-XX) 2 General topology (54-XX) 2 Optics, electromagnetic theory (78-XX) 1 Mathematical logic and foundations (03-XX) 1 Difference and functional equations (39-XX) 1 Manifolds and cell complexes (57-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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