Ole E. Barndorff–Nielsen

Aarhus University

78H指数

465论文数

3.4W被引数

收录论文 9

发表时间

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

JOURNAL OF ECONOMETRICS

IF4

2011-06-01

323

OAAI

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

Subsampling realised kernels

JOURNAL OF ECONOMETRICS

IF4

2011-01-01

OAAI

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

Realized kernels in practice: trades and quotes

ECONOMETRICS JOURNAL

IF7

2009-11-24

382

OAAI

Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

ECONOMETRICA

IF7.1

2008-01-01

826

PREAI

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

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

JOURNAL OF ECONOMETRICS

IF4

2006-03-01

OAAI

Barndorff-Nielsen, OE; Shephard, N

Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics

ECONOMETRICA

IF7.1

2004-05-01

534

PREAI

Barndorff-Nielsen, OE; Shephard, N

On quantum statistical inference 关于量子统计推断

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2003-10-28

114

OAAI

Barndorff-Nielsen, OE; Gill, RD; Jupp, PE

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2002-06-20

1.3K

OAAI

Barndorff-Nielsen, OE; Shephard, N

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2002-01-06

1.3K

PREAI

Barndorff-Nielsen, OE; Shephard, N

研究方向