Ole E. Barndorff-Nielsen : Citation Profile


Are you Ole E. Barndorff-Nielsen?

Aarhus Universitet

20

H index

28

i10 index

4250

Citations

RESEARCH PRODUCTION:

27

Articles

60

Papers

RESEARCH ACTIVITY:

   37 years (1973 - 2010). See details.
   Cites by year: 114
   Journals where Ole E. Barndorff-Nielsen has often published
   Relations with other researchers
   Recent citing documents: 213.    Total self citations: 41 (0.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba592
   Updated: 2021-01-16    RAS profile: 2010-12-09    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ole E. Barndorff-Nielsen.

Is cited by:

Bollerslev, Tim (134)

Andersen, Torben (99)

Podolskij, Mark (76)

McAleer, Michael (76)

Meddahi, Nour (57)

Patton, Andrew (52)

Asai, Manabu (51)

Tauchen, George (48)

Baruník, Jozef (47)

Shephard, Neil (47)

Hansen, Peter (46)

Cites to:

Shephard, Neil (158)

Bollerslev, Tim (75)

Andersen, Torben (68)

Diebold, Francis (46)

Ghysels, Eric (46)

Renault, Eric (43)

Meddahi, Nour (33)

Harvey, Andrew (31)

Podolskij, Mark (27)

Lunde, Asger (25)

Hansen, Peter (23)

Main data


Where Ole E. Barndorff-Nielsen has published?


Journals with more than one article published# docs
Scandinavian Journal of Statistics5
Journal of the Royal Statistical Society Series B3
Annals of the Institute of Statistical Mathematics2
Finance and Stochastics2
Journal of Financial Econometrics2
Econometrica2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
OFRC Working Papers Series / Oxford Financial Research Centre15
Economics Series Working Papers / University of Oxford, Department of Economics4

Recent works citing Ole E. Barndorff-Nielsen (2021 and 2020)


YearTitle of citing document
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2020Exploring the Inflationary Effect of Oil Price Volatility in Africas Oil Exporting Countries. (2020). Adekunle, Ibrahim A ; George, Emmanuel O ; Ogede, Sina J. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/020.

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2020Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2020Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2020Double Deep Q-Learning for Optimal Execution. (2018). Jaimungal, Sebastian ; Ho, Franco ; Ning, Brian. In: Papers. RePEc:arx:papers:1812.06600.

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2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137.

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2020Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2020A Socioeconomic Well-Being Index. (2020). Ma, Xiaohan ; Shirvani, Abootaleb ; Trindade, Alexandre A. In: Papers. RePEc:arx:papers:2001.01036.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes. (2020). Yang, Jingping ; Zang, Xin ; Jiang, Fan. In: Papers. RePEc:arx:papers:2003.06218.

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2020Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

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2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786.

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2020Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model. (2020). Arai, Takuji. In: Papers. RePEc:arx:papers:2005.07393.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models. (2020). Posp, J ; Danvek, Josef. In: Papers. RePEc:arx:papers:2006.13181.

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2020An unsupervised deep learning approach in solving partial-integro differential equations. (2020). Fu, Weilong ; Hirsa, Ali. In: Papers. RePEc:arx:papers:2006.15012.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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2020Fourier instantaneous estimators and the Epps effect. (2020). Chang, Patrick. In: Papers. RePEc:arx:papers:2007.03453.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130.

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2020Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme. (2020). Hu, Yaozhong ; Agrawal, Nishant. In: Papers. RePEc:arx:papers:2010.04287.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256.

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2020Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2020Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147.

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2020A Multivariate Realized GARCH Model. (2020). Lunde, Asger ; Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02708.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731.

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2020Contrast function estimation for the drift parameter of ergodic jump diffusion process. (2020). Gloter, Arnaud ; Amorino, Chiara. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:2:p:279-346.

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2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2020Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span. (2020). Sun, Yixiao ; Pellatt, Daniel . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt19f0d9wz.

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2020Measuring the Effects of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, D ; Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202006.

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2020Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004.

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2020The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2021A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network. (2021). Sun, Ying ; Chen, Tianbo ; Li, Ta-Hsin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:154:y:2021:i:c:s0167947320301602.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2020The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market. (2020). Yin, Libo ; Wang, Ziwei ; He, Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303055.

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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

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2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2020Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899.

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2020Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239.

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2020High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020Testing for Stationarity at High Frequency. (2020). Park, Joon Y ; Lu, YE ; Jiang, Bibo. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:341-374.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558.

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2020High-frequency factor models and regressions. (2020). Kalnina, Ilze ; Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:86-105.

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2020Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:32-81.

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2020Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020Fractional Brownian markets with time-varying volatility and high-frequency data. (2020). Sen, Rituparna ; Lahiri, Ananya . In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:91-107.

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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

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2020What is the best proxy for liquidity in the presence of extreme illiquidity?. (2020). Będowska-Sójka, Barbara ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080.

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2020The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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2020Factor models in the German electricity market: Stylized facts, seasonality, and calibration. (2020). Wagner, A ; Hinderks, W J. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319301033.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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2020Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300876.

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More than 100 citations found, this list is not complete...

Works by Ole E. Barndorff-Nielsen:


YearTitleTypeCited
2007Power variation for Gaussian processes with stationary increments In: CREATES Research Papers.
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2008Bipower variation for Gaussian processes with stationary increments.(2008) In: CREATES Research Papers.
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2008Measuring downside risk — realised semivariance In: CREATES Research Papers.
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2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
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2008Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series.
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
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paper214
2009Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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This paper has another version. Agregated cites: 214
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
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This paper has another version. Agregated cites: 214
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 214
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 214
paper
2009Multipower Variation for Brownian Semistationary Processes In: CREATES Research Papers.
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paper3
2009Stochastic volatility of volatility in continuous time In: CREATES Research Papers.
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paper5
2009The multivariate supOU stochastic volatility model In: CREATES Research Papers.
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paper0
2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes In: CREATES Research Papers.
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paper1
2010Ambit processes and stochastic partial differential equations In: CREATES Research Papers.
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paper6
2010Modelling energy spot prices by Lévy semistationary processes In: CREATES Research Papers.
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paper4
2010Modelling electricity forward markets by ambit fields In: CREATES Research Papers.
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paper8
2010Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers.
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2006Comment In: Journal of Business & Economic Statistics.
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2007Random Graph Dynamics by Rick Durrett In: International Statistical Review.
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2001Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics In: Journal of the Royal Statistical Society Series B.
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2002Econometric analysis of realized volatility and its use in estimating stochastic volatility models In: Journal of the Royal Statistical Society Series B.
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2001Econometric analysis of realised volatility and its use in estimating stochastic volatility models.(2001) In: Economics Papers.
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2003On quantum statistical inference In: Journal of the Royal Statistical Society Series B.
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article6
1999Tail Exactness of Multivariate Saddlepoint Approximations In: Scandinavian Journal of Statistics.
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article4
2000Exact Distributional Results for Random Resistance Trees In: Scandinavian Journal of Statistics.
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article1
2003Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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article27
2005Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes In: Scandinavian Journal of Statistics.
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article12
2007Lévy Copulas: Dynamics and Transforms of Upsilon Type In: Scandinavian Journal of Statistics.
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article2
2006LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory.
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article70
2005Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers.
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2005Limit theorems for bipower variation in financial econometrics.(2005) In: OFRC Working Papers Series.
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2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica.
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2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
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2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
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2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
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2009Realized kernels in practice: trades and quotes In: Econometrics Journal.
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article211
1991Information quantities in non-classical settings In: Computational Statistics & Data Analysis.
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article1
2006Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics.
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article26
2003Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.(2003) In: Economics Papers.
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1998The interplay between insurance, finance and control In: Insurance: Mathematics and Economics.
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1991Some parametric models on the simplex In: Journal of Multivariate Analysis.
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article13
1973On the parametrization of autoregressive models by partial autocorrelations In: Journal of Multivariate Analysis.
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article42
2002Estimating quadratic variation using realized variance In: Journal of Applied Econometrics.
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article201
2001Integrated OU Processes In: Economics Papers.
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paper1
2001Normal modified stable processes In: Economics Papers.
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paper23
2001Higher order variation and stochastic volatility models In: Economics Papers.
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2001How accurate is the asymptotic approximation to the distribution of realised volatility? In: Economics Papers.
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paper18
2001Realised power variation and stochastic volatility models In: Economics Papers.
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paper12
2001Estimating quadratic variation using realised volatility In: Economics Papers.
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paper3
2001Some recent developments in stochastic volatility modelling In: Economics Papers.
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paper30
2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers.
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paper6
2002Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics.(2002) In: OFRC Working Papers Series.
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2002Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers.
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paper6
2002Power Variation and Time Change In: Economics Papers.
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paper1
2003Power and bipower variation with stochastic volatility and jumps In: Economics Papers.
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2004Power and Bipower Variation with Stochastic Volatility and Jumps.(2004) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 605
article
2003Power variation & stochastic volatility: a review and some new results In: Economics Papers.
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paper3
2003Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers.
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paper434
2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 434
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2004Econometrics of testing for jumps in financial economics using bipower variationÂ.(2004) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 434
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2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
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paper20
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
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2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
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2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 54
paper
2004A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers.
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paper6
2004A feasible central limit theory for realised volatility under leverage.(2004) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 6
paper
2004Multipower Variation and Stochastic Volatility In: Economics Papers.
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paper5
2004Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 5
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2005Limit theorems for multipower variation in the presence of jumps In: Economics Papers.
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paper57
2005Limit theorems for multipower variation in the presence of jumps.(2005) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 57
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2005Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers.
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paper13
2005Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 13
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2005Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: OFRC Working Papers Series.
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2006Subsampling realised kernels In: Economics Papers.
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2006Subsampling realised kernels.(2006) In: Economics Series Working Papers.
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2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 39
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2010Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers.
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paper0
2010Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 0
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2000Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics. In: Economics Papers.
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2000Non-Gaussian OU based models and some of their uses in financial economics In: OFRC Working Papers Series.
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paper9
2008Modelling and measuring volatility In: OFRC Working Papers Series.
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1989Approximating exponential models In: Annals of the Institute of Statistical Mathematics.
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article1
1995Quasi profile and directed likelihoods from estimating functions In: Annals of the Institute of Statistical Mathematics.
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article3
1997Processes of normal inverse Gaussian type In: Finance and Stochastics.
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article71
2001Apparent scaling In: Finance and Stochastics.
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article10
1997Book reviews In: Metrika: International Journal for Theoretical and Applied Statistics.
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