Edit Profile (opens in new tab) Barndorff-Nielsen, Ole Eiler (b. 1935 d. 2022) Co-Author Distance 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: 207 Publications since 1961, including 13 Books and 2 Additional arXiv Preprints 10 Contributions as Editor · 2 Further Contributions Biographic References: 1 Publication Co-Authors: 87 Co-Authors with 163 Joint Publications 2,507 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 10 Jupp, Peter E. 10 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 Gill, Richard David 4 Graversen, Svend Erik 4 Hansen, Peter Reinhard 4 Jacod, Jean 4 Stelzer, Robert 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 2 Koudou, Angelo Efoévi 2 Leonenko, Nikolai N. 2 Maejima, Makoto 2 McCullagh, Peter 2 Pedersen, Karl R. 2 Reid, Nancy 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 Eggers, Hans C. 1 Eriksen, Poul Svante 1 Firth, David 1 Gupta, Vijay K. 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 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 7,113 times in 4,308 Documents Cited by ▼ Year ▼ Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). Zbl 0983.60028 Barndorff-Nielsen, Ole E.; Shephard, Neil 637 2001 Information and exponential families in statistical theory. Zbl 0387.62011 Barndorff-Nielsen, O. 411 1978 Processes of normal inverse Gaussian type. Zbl 0894.90011 Barndorff-Nielsen, Ole E. 396 1998 Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1059.62107 Barndorff-Nielsen, Ole E.; Shephard, Neil 383 2002 Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Zbl 1153.91416 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 279 2008 Normal inverse Gaussian distributions and stochastic volatility modelling. Zbl 0934.62109 Barndorff-Nielsen, Ole E. 231 1997 Inference and asymptotics. Zbl 0826.62004 Barndorff-Nielsen, O. E.; Cox, D. R. 220 1994 Asymptotic techniques for use in statistics. Zbl 0672.62024 Barndorff-Nielsen, O. E.; Cox, D. R. 199 1989 Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Zbl 1141.91634 Barndorff-Nielsen, Ole E.; Shephard, Neil 169 2004 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 143 2011 On a formula for the distribution of the maximum likelihood estimator. Zbl 0532.62006 Barndorff-Nielsen, O. 128 1983 Normal variance-mean mixtures and z distributions. Zbl 0497.62019 Barndorff-Nielsen, O.; Kent, J.; Sorensen, M. 122 1982 Differential geometry in statistical inference. Zbl 0694.62001 Amari, S.-I.; Barndorff-Nielsen, O. E.; Kass, R. E.; Lauritzen, S. L.; Rao, C. R. 119 1987 Inference on full or partial parameters based on the standardized signed log likelihood ratio. Zbl 0605.62020 Barndorff-Nielsen, O. E. 116 1986 Modified signed log likelihood ratio. Zbl 1192.62052 Barndorff-Nielsen, O. E. 111 1991 Modelling by Lévy processes for financial econometrics. Zbl 0991.62089 Barndorff-Nielsen, Ole E.; Shephard, Neil 102 2001 Hyperbolic distributions and distributions on hyperbolae. Zbl 0386.60018 Barndorff-Nielsen, O. 101 1978 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 96 2006 Lévy processes. Theory and applications. Zbl 0961.00012 84 2001 Superposition of Ornstein-Uhlenbeck type processes. Zbl 1003.60039 Barndorff-Nielsen, O. E. 82 2000 Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions. Zbl 0403.60026 Nielsen-Barndorff, O.; Halgreen, Christian 78 1977 Edgeworth and saddle-point approximations with statistical applications. Zbl 0424.62010 Barndorff-Nielsen, O.; Cox, D. R. 72 1979 Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022 Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias 71 2006 Power variation and time change. Zbl 1095.60023 Barndorff-Nielsen, O. E.; Shephard, N. 68 2006 Realized kernels in practise : trades and quotes. Zbl 1179.91259 Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. 67 2009 Multivariate subordination, self-decomposability and stability. Zbl 0982.60046 Barndorff-Nielsen, Ole E.; Pedersen, Jan; Sato, Ken-iti 64 2001 On the parametrization of autoregressive models by partial autocorrelations. Zbl 0275.62074 Barndorff-Nielsen, O.; Schou, G. 54 1973 Conditionality resolutions. Zbl 0434.62005 Barndorff-Nielsen, O. 50 1980 On the level-error after Bartlett adjustment of the likelihood ratio statistic. Zbl 0638.62019 Barndorff-Nielsen, O. E.; Hall, Peter 50 1988 Change of time and change of measure. Zbl 1234.60003 Barndorff-Nielsen, Ole; Shiryaev, Albert 50 2010 Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations. Zbl 1102.60013 Barndorff-Nielsen, Ole E.; Maejima, Maejima; Sato, Ken-Iti 47 2006 Some stationary processes in discrete and continuous time. Zbl 0930.60026 Barndorff-Nielsen, O. E.; Jensen, J. L.; Sørensen, M. 46 1998 Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Zbl 1051.60048 Barndorff-Nielsen, Ole E.; Shephard, Neil 44 2003 On quantum statistical inference. Zbl 1059.62128 Barndorff-Nielsen, Ole E.; Gill, Richard D.; Jupp, Peter E. 44 2003 Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 44 2013 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 43 2006 Information and exponential families in statistical theory. Reprint of the 1978 edition. Zbl 1288.62007 Barndorff-Nielsen, Ole E. 43 2014 Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014 Barndorff-Nielsen, O. E.; Leonenko, N. N. 42 2005 On the rate of growth of the partial maxima of a sequence of independent identically distributed random variables. Zbl 0209.20104 Barndorff-Nielsen, O. 41 1961 On the limit behaviour of extreme order statistics. Zbl 0119.15004 Barndorff-Nielsen, O. 41 1963 Some parametric models on the simplex. Zbl 0739.62015 Barndorff-Nielsen, O. E.; Jørgensen, Bent 41 1991 Realized power variation and stochastic volatility models. Zbl 1026.60054 Barndorff-Nielsen, Ole E.; Shephard, Neil 40 2003 Multipower variation for Brownian semistationary processes. Zbl 1244.60039 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 39 2011 Brownian semistationary processes and volatility/intermittency. Zbl 1195.60053 Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 38 2009 Power variation for Gaussian processes with stationary increments. Zbl 1165.60017 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 37 2009 Prediction and asymptotics. Zbl 0870.62008 Barndorff-Nielsen, O. E.; Cox, David R. 36 1996 Multivariate supOU processes. Zbl 1235.60032 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 36 2011 Fisher information in quantum statistics. Zbl 1004.81006 Barndorff-Nielsen, O. E.; Gill, R. D. 34 2000 Lévy-based spatial-temporal modelling, with applications to turbulence. Zbl 1062.60039 Barndorff-Nielsen, O. E.; Schmiegel, J. 34 2003 Ambit processes; with applications to turbulence and tumour growth. Zbl 1155.92020 Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 34 2007 Bartlett adjustments to the likelihood ratio statistic and the distribution of the maximum likelihood estimator. Zbl 0581.62016 Barndorff-Nielsen, O. E.; Cox, D. R. 32 1984 Quasi Ornstein-Uhlenbeck processes. Zbl 1233.60020 Barndorff-Nielsen, Ole E.; Basse-O’Connor, Andreas 31 2011 Normal modified stable processes. Zbl 1026.60058 Barndorff-Nielsen, Ole E.; Shephard, Neil 30 2001 Hyperbolic distributions and ramifications: Contributions to theory and application. Zbl 0489.62020 Barndorff-Nielsen, O.; Blaesild, P. 30 1981 Parametric statistical models and likelihood. Zbl 0691.62002 Barndorff-Nielsen, Ole E. 29 1988 Positive-definite matrix processes of finite variation. Zbl 1128.60053 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 28 2007 First hitting time models for the generalized inverse Gaussian distribution. Zbl 0373.60101 Barndorff-Nielsen, O.; Blaesild, P.; Halgreen, C. 28 1978 Self-decomposability and Lévy processes in free probability. Zbl 1024.60022 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 28 2002 Variation, jumps and high-frequency data in financial econometrics. Zbl 1157.91017 Barndorff-Nielsen, Ole E.; Shephard, Neil 28 2007 Ambit processes and stochastic partial differential equations. Zbl 1239.91188 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 27 2011 On the distribution of the number of admissible points in a vector random sample. Zbl 0278.60007 Barndorff-Nielsen, O.; Sobel, Milton 26 1966 Ambit stochastics. Zbl 1472.60002 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 26 2018 Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 25 2015 Feller processes of normal inverse Gaussian type. Zbl 1405.91582 Barndorff-Nielsen, O. E.; Levendorskii, S. Z. 25 2001 The multivariate supOU stochastic volatility model. Zbl 1262.91139 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 24 2013 A review of some aspects of asymptotic likelihood theory for stochastic processes. Zbl 0828.62078 Barndorff-Nielsen, O. E.; Sørensen, M. 23 1994 On the limit distribution of the maximum of a random number of independent random variables. Zbl 0135.19206 Barndorff-Nielsen, O. 22 1964 Modelling electricity futures by ambit fields. Zbl 1304.91213 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 22 2014 Classical and free infinite divisibility and Lévy processes. Zbl 1130.81044 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 21 2006 Identifiability of mixtures of exponential families. Zbl 0138.12105 Barndorff-Nielsen, O. 21 1965 Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. Zbl 1273.60021 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 21 2013 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes. Zbl 1337.62342 Barndorff-Nielsen, Ole E.; Shephard, Neil 20 2006 Some recent developments in stochastic volatility modelling. Zbl 1405.91583 Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil 20 2002 Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156 Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil 20 2012 Exponential transformation models. Zbl 0478.62005 Barndorff-Nielsen, O.; Blaesild, P.; Jensen, J. Ledet; Jørgensen, Bent 20 1982 Measuring downside risk – realized semivariance. Zbl 1229.91154 Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil 19 2010 Time change, volatility, and turbulence. Zbl 1157.60043 Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 19 2008 The role of differential geometry in statistical theory. Zbl 0587.62060 Barndorff-Nielsen, O. E.; Cox, D. R.; Reid, N. 19 1986 Decomposition and invariance of measures, and statistical transformation models. Zbl 1088.62500 Barndorff-Nielsen, Ole E.; Blæsild, Preben; Eriksen, Poul Svante 19 1989 Matrix subordinators and related upsilon transformations. Zbl 1152.60017 Barndorff-Nielsen, O. E.; Pérez-Abreu, V. 18 2008 Models for non-Gaussian variation, with applications to turbulence. Zbl 0418.60022 Barndorff-Nielsen, O. 18 1979 Apparent scaling. Zbl 0976.60047 Barndorff-Nielsen, Ole E.; Prause, Karsten 17 2001 Burgers’ turbulence problem with linear or quadratic external potential. Zbl 1082.60056 Barndorff-Nielsen, O. E.; Leonenko, N. N. 17 2005 A connection between free and classical infinite divisibility. Zbl 1059.60017 Barndorff-Nielsen, O. E.; Thorbjørnsen, S. 17 2004 Stationary infinitely divisible processes. Zbl 1244.60037 Barndorff-Nielsen, Ole E. 17 2011 Subsampling realised kernels. Zbl 1441.62598 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 17 2011 Integer-valued trawl processes: a class of stationary infinitely divisible processes. Zbl 1309.60033 Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. 17 2014 Bipower variation for Gaussian processes with stationary increments. Zbl 1176.60029 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark; Woerner, Jeannette H. C. 16 2009 Stable and invariant adjusted directed likelihoods. Zbl 0812.62030 Barndorff-Nielsen, O. E.; Chamberlin, S. R. 15 1994 Stationary and self-similar processes driven by Lévy processes. Zbl 0996.60050 Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor 15 1999 Likelihood and observed geometries. Zbl 0632.62028 Barndorff-Nielsen, O. E. 15 1986 Adjusted versions of profile likelihood and directed likelihood, and extended likelihood. Zbl 0798.62005 Barndorff-Nielsen, O. E. 14 1994 A note on electrical networks and the inverse Gaussian distribution. Zbl 0792.60015 Barndorff-Nielsen, O. E. 14 1994 Infinite divisibility for stochastic processes and time change. Zbl 1111.60028 Barndorff-Nielsen, Ole E.; Maejima, Makoto; Sato, Ken-iti 14 2006 How accurate is the asymptotic approximation to the distribution of realised variance? Zbl 1121.62018 Barndorff-Nielsen, Ole E.; Shephard, Neil 14 2005 Cuts in natural exponential families. Zbl 0852.62019 Barndorff-Nielsen, O. E.; Koudou, A. E. 14 1995 Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy processes. Zbl 1088.60005 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 14 2005 Approximate interval probabilities. Zbl 0706.62013 Barndorff-Nielsen, O. E. 14 1990 Sufficiency and conditionality. Comments by G. A. Barnard, Ole Barndorff- Nielsen, Allan Birnbaum, A. D. McLaren. Zbl 0313.62004 Kalbfleisch, John D. 13 1975 Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082 Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter 13 1995 Ambit stochastics. Zbl 1472.60002 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 26 2018 Selfdecomposable fields. Zbl 1423.60034 Barndorff-Nielsen, Ole E.; Sauri, Orimar; Szozda, Benedykt 3 2017 Some recent developments in ambit stochastics. Zbl 1382.60003 Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen; Szozda, Benedykt 6 2016 Gamma kernels and BSS/LSS processes. Zbl 1369.60039 Barndorff-Nielsen, Ole E. 3 2016 Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 25 2015 Change of time and change of measure. 2nd edition. Zbl 1316.60004 Barndorff-Nielsen, Ole E.; Shiryaev, Albert 10 2015 Information and exponential families in statistical theory. Reprint of the 1978 edition. Zbl 1288.62007 Barndorff-Nielsen, Ole E. 43 2014 Modelling electricity futures by ambit fields. Zbl 1304.91213 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 22 2014 Integer-valued trawl processes: a class of stationary infinitely divisible processes. Zbl 1309.60033 Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. 17 2014 Assessing relative volatility/ intermittency/energy dissipation. Zbl 1302.60115 Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen 13 2014 On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106 Barndorff-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 1291.60109 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt 10 2014 Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 44 2013 The multivariate supOU stochastic volatility model. Zbl 1262.91139 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 24 2013 Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. Zbl 1273.60021 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 21 2013 Lévy mixing. Zbl 1288.60020 Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor; Thorbjørnsen, Steen 9 2013 Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156 Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil 20 2012 Meta-times and extended subordination. Zbl 1260.60088 Barndorff-Nielsen, O. E.; Pedersen, J. 9 2012 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 143 2011 Multipower variation for Brownian semistationary processes. Zbl 1244.60039 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 39 2011 Multivariate supOU processes. Zbl 1235.60032 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 36 2011 Quasi Ornstein-Uhlenbeck processes. Zbl 1233.60020 Barndorff-Nielsen, Ole E.; Basse-O’Connor, Andreas 31 2011 Ambit processes and stochastic partial differential equations. Zbl 1239.91188 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 27 2011 Stationary infinitely divisible processes. Zbl 1244.60037 Barndorff-Nielsen, Ole E. 17 2011 Subsampling realised kernels. Zbl 1441.62598 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 17 2011 Volatility determination in an ambit process setting. Zbl 1251.60043 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik 6 2011 Change of time and change of measure. Zbl 1234.60003 Barndorff-Nielsen, Ole; Shiryaev, Albert 50 2010 Measuring downside risk – realized semivariance. Zbl 1229.91154 Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil 19 2010 On free and classical type \(G\) distributions. Zbl 1209.62010 Arizmendi, Octavio; Barndorff-Nielsen, Ole E.; Pérez-Abreu, Víctor 6 2010 Realized kernels in practise : trades and quotes. Zbl 1179.91259 Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. 67 2009 Brownian semistationary processes and volatility/intermittency. Zbl 1195.60053 Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 38 2009 Power variation for Gaussian processes with stationary increments. Zbl 1165.60017 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark 37 2009 Bipower variation for Gaussian processes with stationary increments. Zbl 1176.60029 Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; Podolskij, Mark; Woerner, Jeannette H. C. 16 2009 Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Zbl 1153.91416 Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil 279 2008 Time change, volatility, and turbulence. Zbl 1157.60043 Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 19 2008 Matrix subordinators and related upsilon transformations. Zbl 1152.60017 Barndorff-Nielsen, O. E.; Pérez-Abreu, V. 18 2008 General \(\Upsilon\)-transformations. Zbl 1168.60007 Barndorff-Nielsen, Ole E.; Rosinski, Jan; Thorbjørnsen, Steen 12 2008 A stochastic differential equation framework for the timewise dynamics of turbulent velocities. Zbl 1148.76025 Barndorff-Nielsen, O. E.; Schmiegel, J. 8 2008 Probability measures, Lévy measures and analyticity in time. Zbl 1162.60013 Barndorff-Nielsen, Ole E.; Hubalek, Friedrich 8 2008 Semigroups of Upsilon transformations. Zbl 1154.60309 Barndorff-Nielsen, Ole E.; Maejima, Makoto 1 2008 Ambit processes; with applications to turbulence and tumour growth. Zbl 1155.92020 Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen 34 2007 Positive-definite matrix processes of finite variation. Zbl 1128.60053 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 28 2007 Variation, jumps and high-frequency data in financial econometrics. Zbl 1157.91017 Barndorff-Nielsen, Ole E.; Shephard, Neil 28 2007 Spatio-temporal modelling – with a view to biological growth. Zbl 1122.62080 Jensen, Eva B. Vedel; Jónsdóttir, Kristjana Ýr; Schmiegel, Jürgen; Barndorff-Nielsen, Ole E. 11 2007 Lévy copulas: dynamics and transforms of upsilon type. Zbl 1141.60022 Barndorff-Nielsen, Ole E.; Linder, Alexander M. 9 2007 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 96 2006 Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022 Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias 71 2006 Power variation and time change. Zbl 1095.60023 Barndorff-Nielsen, O. E.; Shephard, N. 68 2006 Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations. Zbl 1102.60013 Barndorff-Nielsen, Ole E.; Maejima, Maejima; Sato, Ken-Iti 47 2006 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 43 2006 Classical and free infinite divisibility and Lévy processes. Zbl 1130.81044 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 21 2006 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes. Zbl 1337.62342 Barndorff-Nielsen, Ole E.; Shephard, Neil 20 2006 Infinite divisibility for stochastic processes and time change. Zbl 1111.60028 Barndorff-Nielsen, Ole E.; Maejima, Makoto; Sato, Ken-iti 14 2006 Regularizing mappings of Lévy measures. Zbl 1110.60007 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 7 2006 Mat\(G\) random matrices. Zbl 1108.60005 Barndorff-Nielsen, Ole E.; Pérez-Abreu, Víctor; Rocha-Arteaga, Alfonso 4 2006 Multipower variation and stochastic volatility. Zbl 1144.60314 Barndorff-Nielsen, Ole E.; Shephard, Neil 2 2006 Spectral properties of superpositions of Ornstein-Uhlenbeck type processes. Zbl 1089.60014 Barndorff-Nielsen, O. E.; Leonenko, N. N. 42 2005 Burgers’ turbulence problem with linear or quadratic external potential. Zbl 1082.60056 Barndorff-Nielsen, O. E.; Leonenko, N. N. 17 2005 How accurate is the asymptotic approximation to the distribution of realised variance? Zbl 1121.62018 Barndorff-Nielsen, Ole E.; Shephard, Neil 14 2005 Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy processes. Zbl 1088.60005 Barndorff-Nielsen, Ole Eiler; Stelzer, Robert 14 2005 The Lévy-Itô decomposition in free probability. Zbl 1082.46043 Barndorff-Nielsen, O. E.; Thorbjørnsen, S. 11 2005 Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1126.91357 Barndorff-Nielsen, Ole E.; Shephard, Neil 2 2005 Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Zbl 1141.91634 Barndorff-Nielsen, Ole E.; Shephard, Neil 169 2004 A connection between free and classical infinite divisibility. Zbl 1059.60017 Barndorff-Nielsen, O. E.; Thorbjørnsen, S. 17 2004 Power variation and stochastic volatility: a review and some new results. Zbl 1070.91018 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Shephard, Neil 10 2004 Measuring and forecasting financial variability using realised variance. Zbl 05280147 Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil; Ysusi, Carla 3 2004 Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Zbl 1051.60048 Barndorff-Nielsen, Ole E.; Shephard, Neil 44 2003 On quantum statistical inference. Zbl 1059.62128 Barndorff-Nielsen, Ole E.; Gill, Richard D.; Jupp, Peter E. 44 2003 Realized power variation and stochastic volatility models. Zbl 1026.60054 Barndorff-Nielsen, Ole E.; Shephard, Neil 40 2003 Lévy-based spatial-temporal modelling, with applications to turbulence. Zbl 1062.60039 Barndorff-Nielsen, O. E.; Schmiegel, J. 34 2003 Realized power variation and stochastic volatility model. Zbl 1039.60046 Barndorff-Nielsen, Ole E.; Shephard, Neil 10 2003 Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1059.62107 Barndorff-Nielsen, Ole E.; Shephard, Neil 383 2002 Self-decomposability and Lévy processes in free probability. Zbl 1024.60022 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 28 2002 Some recent developments in stochastic volatility modelling. Zbl 1405.91583 Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil 20 2002 Lévy laws in free probability. Zbl 1063.46053 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 13 2002 Lévy processes in free probability. Zbl 1063.46052 Barndorff-Nielsen, Ole E.; Thorbjørnsen, Steen 10 2002 Extensions of type G and marginal infinite divisibility. Zbl 1032.60012 Barndorff-Nielsen, O. E.; Pérez-Abreu, V. 8 2002 General framework for the behaviour of continuously observed open quantum systems. Zbl 1041.81008 Barndorff-Nielsen, Ole E.; Loubenets, Elena R. 2 2002 Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). Zbl 0983.60028 Barndorff-Nielsen, Ole E.; Shephard, Neil 637 2001 Modelling by Lévy processes for financial econometrics. Zbl 0991.62089 Barndorff-Nielsen, Ole E.; Shephard, Neil 102 2001 Lévy processes. Theory and applications. Zbl 0961.00012 84 2001 Multivariate subordination, self-decomposability and stability. Zbl 0982.60046 Barndorff-Nielsen, Ole E.; Pedersen, Jan; Sato, Ken-iti 64 2001 Normal modified stable processes. Zbl 1026.60058 Barndorff-Nielsen, Ole E.; Shephard, Neil 30 2001 Feller processes of normal inverse Gaussian type. Zbl 1405.91582 Barndorff-Nielsen, O. E.; Levendorskii, S. Z. 25 2001 Apparent scaling. Zbl 0976.60047 Barndorff-Nielsen, Ole E.; Prause, Karsten 17 2001 Laser cooling and stochastics. Zbl 1371.82072 Barndorff-Nielsen, O. E.; Benth, F. E. 3 2001 Complex stochastic systems. Zbl 0948.00013 2 2001 Superposition of Ornstein-Uhlenbeck type processes. Zbl 1003.60039 Barndorff-Nielsen, O. E. 82 2000 Fisher information in quantum statistics. Zbl 1004.81006 Barndorff-Nielsen, O. E.; Gill, R. D. 34 2000 Exact distributional results for random resistance trees. Zbl 0944.60036 Barndorff-Nielsen, Ole E.; Rydberg, Tina Hviid 1 2000 Stationary and self-similar processes driven by Lévy processes. Zbl 0996.60050 Barndorff-Nielsen, Ole E.; Pérez-Abreu, Victor 15 1999 Tail exactness of multivariate saddlepoint approximations. Zbl 0948.60008 Barndorff-Nielsen, O. E.; Klüppelberg, C. 6 1999 L-nonformation, L-ancillarity, and L-sufficiency. Zbl 0990.62002 Barndorff-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 0894.90011 Barndorff-Nielsen, Ole E. 396 1998 Some stationary processes in discrete and continuous time. Zbl 0930.60026 Barndorff-Nielsen, O. E.; Jensen, J. L.; Sørensen, M. 46 1998 Probability and statistics: self-decomposability, finance and turbulence. Zbl 1044.62501 Barndorff-Nielsen, Ole E. 11 1998 Trees with random conductivities and the (reciprocal) inverse Gaussian distribution. Zbl 0912.60017 Barndorff-Nielsen, O. E.; Koudou, A. E. 10 1998 On large deviations and choice of ancillary for \(p^*\) and \(r^*\). Zbl 0894.62026 Barndorff-Nielsen, Ole E.; Wood, Andrew T. A. 5 1998 Stochastic methods in hydrology. Rain, landforms and floods. CIMAT, Guanajuato, Mexico, March 25–28, 1996. Zbl 0921.62143 1 1998 ...and 95 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,091 Authors 59 Barndorff-Nielsen, Ole Eiler 48 Benth, Fred Espen 42 Leonenko, Nikolai N. 37 Wong, Augustine C. M. 36 Madan, Dilip B. 35 Podolskij, Mark 30 Todorov, Viktor 27 Veraart, Almut E. D. 26 Mykland, Per Aslak 23 Jacod, Jean 22 Fraser, Donald A. S. 22 Reid, Nancy 20 Bollerslev, Tim 20 Shephard, Neil 20 Ventura, Laura 19 Klüppelberg, Claudia 19 Maejima, Makoto 18 Levendorskiĭ, Sergeĭ Zakharovich 18 Zhang, Xinsheng 17 Balakrishnan, Narayanaswamy 17 Ferrari, Silvia Lopes de Paula 16 Cribari-Neto, Francisco 16 Kim, Donggyu 16 Stelzer, Robert 16 Tauchen, George E. 16 Wang, Yazhen 15 Kallsen, Jan 15 Kárný, Miroslav 14 Lin, Tsung I. 14 Liu, Zhi 14 Tankov, Peter 14 Vetter, Mathias 13 Andersen, Torben G. 13 Corcuera, José Manuel 13 Gloter, Arnaud 13 Jupp, Peter E. 13 Li, Jia 13 Lunde, Asger 13 Masmoudi, Afif 13 Meddahi, Nour 13 Pommeret, Denys 13 Vidoni, Paolo 13 Yoshida, Nakahiro 12 Bar-Lev, Shaul K. 12 Cordeiro, Gauss Moutinho 12 Kong, Xinbing 12 Letac, Gérard G. 12 Li, Yingying 12 Ma, Chunsheng 12 Pakkanen, Mikko S. 12 Sartori, Nicola 12 Sorensen, Michael 12 Stepanov, Aleksei Vasil’evich 12 Taqqu, Murad S. 12 Wang, King-Hang 12 Yu, Jun 12 Zhang, Lan 11 Aït-Sahalia, Yacine 11 Belomestny, Denis 11 Bibinger, Markus 11 Christensen, Kim 11 Figueroa-López, José E. 11 Jamalizadeh, Ahad 11 Korolev, Viktor Yur’evich 11 Li, Lingfei 11 Sato, Ken-iti 11 Schoutens, Wim 11 Wu, Jianrong 11 Yor, Marc 11 Zhang, Shibin 10 Fan, Jianqing 10 Gatto, Riccardo 10 Jørgensen, Bent 10 Kokonendji, Célestin Clotaire 10 Massam, Helene M. 10 Masuda, Hiroki 10 McAleer, Michael 10 Patton, Andrew J. 10 Pérez-Abreu Carrión, Víctor M. 10 Sabino, Piergiacomo 10 Salvan, Alessandra 10 Sgarra, Carlo 10 Xiu, Dacheng 10 Zhang, Fode 9 Asai, Manabu 9 Basse-O’Connor, Andreas 9 Devroye, Luc P. J. A. 9 Eberlein, Ernst W. 9 Grabchak, Michael 9 Hounyo, Ulrich 9 Jing, Bingyi 9 Kakizawa, Yoshihide 9 Kawai, Reiichiro 9 Kumar, Arun 9 Landsman, Zinoviy M. 9 Lindner, Alexander M. 9 Linetsky, Vadim 9 Mancino, Maria Elvira 9 McNicholas, Paul D. 9 Rekkas, Marie ...and 4,991 more Authors all top 5 Cited in 437 Serials 237 Journal of Econometrics 185 Statistics & Probability Letters 162 Journal of Statistical Planning and Inference 143 Stochastic Processes and their Applications 139 Quantitative Finance 128 Computational Statistics and Data Analysis 127 Journal of Multivariate Analysis 112 Communications in Statistics. Theory and Methods 103 The Annals of Statistics 90 Bernoulli 68 International Journal of Theoretical and Applied Finance 62 Journal of Statistical Computation and Simulation 61 Annals of the Institute of Statistical Mathematics 56 Scandinavian Journal of Statistics 55 Communications in Statistics. 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Series B. Statistical Methodology 16 The Annals of Applied Statistics 15 Journal of Mathematical Analysis and Applications 15 Journal of Economic Dynamics & Control 15 Annals of Operations Research 15 Electronic Journal of Probability 15 Extremes 14 Psychometrika 14 Theory of Probability and its Applications 13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 13 Journal of Nonparametric Statistics 13 Applied Stochastic Models in Business and Industry 13 Brazilian Journal of Probability and Statistics 13 Asia-Pacific Financial Markets 13 Modern Stochastics. Theory and Applications 12 Computers & Mathematics with Applications 12 The Annals of Probability 12 Kybernetika 12 Decisions in Economics and Finance 12 Stochastic Models 12 Sankhyā. 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Advances in Statistical Analysis 10 Journal of Mathematical Physics 10 The Econometrics Journal 9 Statistical Modelling 9 Statistical Methodology 9 Probability Surveys 9 Journal of Probability and Statistics 9 Japanese Journal of Statistics and Data Science 8 Communications in Mathematical Physics 8 Chaos, Solitons and Fractals 8 Scandinavian Actuarial Journal ...and 337 more Serials all top 5 Cited in 56 Fields 2,799 Statistics (62-XX) 1,812 Probability theory and stochastic processes (60-XX) 1,127 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 377 Numerical analysis (65-XX) 110 Differential geometry (53-XX) 100 Quantum theory (81-XX) 80 Functional analysis (46-XX) 75 Systems theory; control (93-XX) 63 Information and communication theory, circuits (94-XX) 62 Computer science (68-XX) 61 Partial differential equations (35-XX) 54 Operations research, mathematical programming (90-XX) 47 Statistical mechanics, structure of matter (82-XX) 42 Biology and other natural sciences (92-XX) 37 Special functions (33-XX) 36 Combinatorics (05-XX) 32 Operator theory (47-XX) 28 Harmonic analysis on Euclidean spaces (42-XX) 27 Linear and multilinear algebra; matrix theory (15-XX) 27 Real functions (26-XX) 27 Dynamical systems and ergodic theory (37-XX) 23 Integral transforms, operational calculus (44-XX) 21 Calculus of variations and optimal control; optimization (49-XX) 20 Convex and discrete geometry (52-XX) 18 Integral equations (45-XX) 17 Global analysis, analysis on manifolds (58-XX) 16 Approximations and expansions (41-XX) 16 Fluid mechanics (76-XX) 15 Geophysics (86-XX) 14 Ordinary differential equations (34-XX) 12 Measure and integration (28-XX) 9 History and biography (01-XX) 9 Number theory (11-XX) 9 Group theory and generalizations (20-XX) 7 General and overarching topics; collections (00-XX) 7 Topological groups, Lie groups (22-XX) 7 Functions of a complex variable (30-XX) 7 Several complex variables and analytic spaces (32-XX) 7 Mechanics of deformable solids (74-XX) 5 Geometry (51-XX) 5 Mechanics of particles and systems (70-XX) 5 Classical thermodynamics, heat transfer (80-XX) 5 Relativity and gravitational theory (83-XX) 5 Astronomy and astrophysics (85-XX) 4 Algebraic geometry (14-XX) 4 Abstract harmonic analysis (43-XX) 3 Commutative algebra (13-XX) 3 Associative rings and algebras (16-XX) 3 Nonassociative rings and algebras (17-XX) 3 Potential theory (31-XX) 3 Sequences, series, summability (40-XX) 3 Optics, electromagnetic theory (78-XX) 2 Mathematical logic and foundations (03-XX) 2 General topology (54-XX) 1 Difference and functional equations (39-XX) 1 Manifolds and cell complexes (57-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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