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Information and Exponential Families: In Statistical Theory

O. Barndorff-Nielsen

2, 2014

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

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2002-05, Vol.64 (2), p.253-280

2002

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

Econometrica, 2004-05, Vol.72 (3), p.885-925

2004

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Ambit Stochastics

1st ed. 2018., 2018

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

Econometrica, 2008-11, Vol.76 (6), p.1481-1536

2008

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Estimating quadratic variation using realized variance

Journal of applied econometrics (Chichester, England), 2002-09, Vol.17 (5), p.457-477

2002

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Multipower variation for Brownian semistationary processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2011-11, Vol.17 (4), p.1159-1194

2011

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

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2001, Vol.63 (2), p.167-241

2001

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On quantum statistical inference

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2003-01, Vol.65 (4), p.775-804

2003

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

Scandinavian journal of statistics, 2014-09, Vol.41 (3), p.693-724

2014

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Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models

Scandinavian journal of statistics, 2003-06, Vol.30 (2), p.277-295

2003

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

Journal of econometrics, 2011-06, Vol.162 (2), p.149-169

2011

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Limit theorems for multipower variation in the presence of jumps

Stochastic processes and their applications, 2006-05, Vol.116 (5), p.796-806

2006

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Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Journal of financial econometrics, 2006-01, Vol.4 (1), p.1-30

2006

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Parametric Statistical Models and Likelihood

1, 1988

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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

Econometric theory, 2006-08, Vol.22 (4), p.677-719

2006

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Decomposition and Invariance of Measures, and Statistical Transformation Models

1, 1989

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Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2013-08, Vol.19 (3), p.803-845

2013

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Stochastic Processes: Lectures Given at Aarhus University

1, 2004

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Subsampling realised kernels

Journal of econometrics, 2011, Vol.160 (1), p.204-219

2011

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Quasi Ornstein-Uhlenbeck processes

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 2011-08, Vol.17 (3), p.916-941

2011

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Lévy Processes: Theory and Applications

1, 2001

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Modelling Electricity Futures by Ambit Fields

Advances in applied probability, 2014-09, Vol.46 (3), p.719-745

2014

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Power variation for Gaussian processes with stationary increments

Stochastic processes and their applications, 2009-06, Vol.119 (6), p.1845-1865

2009

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Integer-valued Lévy processes and low latency financial econometrics

Quantitative finance, 2012-04, Vol.12 (4), p.587-605

2012

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Information and Exponential Families: In Statistical Theory

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

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

Ambit Stochastics

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

Estimating quadratic variation using realized variance

Multipower variation for Brownian semistationary processes

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

On quantum statistical inference

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

Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models

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

Limit theorems for multipower variation in the presence of jumps

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Parametric Statistical Models and Likelihood

LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

Decomposition and Invariance of Measures, and Statistical Transformation Models

Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes

Stochastic Processes: Lectures Given at Aarhus University

Subsampling realised kernels

Quasi Ornstein-Uhlenbeck processes

Lévy Processes: Theory and Applications

Modelling Electricity Futures by Ambit Fields

Power variation for Gaussian processes with stationary increments

Integer-valued Lévy processes and low latency financial econometrics

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