Ole E. Barndorff-Nielsen : Citation Profile

Are you Ole E. Barndorff-Nielsen?

Aarhus Universitet

20

H index

28

i10 index

4175

Citations

RESEARCH PRODUCTION:

27

Articles

60

Papers

RESEARCH ACTIVITY:

   37 years (1973 - 2010). See details.
   Cites by year: 112
   Journals where Ole E. Barndorff-Nielsen has often published
   Relations with other researchers
   Recent citing documents: 398.    Total self citations: 41 (0.97 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba592
   Updated: 2020-11-21    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 (75)

Meddahi, Nour (57)

Patton, Andrew (52)

Asai, Manabu (50)

Tauchen, George (48)

Baruník, Jozef (47)

Shephard, Neil (47)

Hansen, Peter (46)

Cites to:

Shephard, Neil (158)

Bollerslev, Tim (75)

Andersen, Torben (68)

Ghysels, Eric (46)

Diebold, Francis (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
Journal of Financial Econometrics2
Finance and Stochastics2
Annals of the Institute of Statistical Mathematics2
Journal of Multivariate Analysis2
Econometrica2

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 (2020 and 2019)

YearTitle of citing document
2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

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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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2019Dynamic models used in analysis capital and population. (2019). Popovici, Marius ; Dumbrav, Gabriel-Tefan ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela . In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:149-162.

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2019Dynamic models used in analysis capital and population. (2019). Popovici, Marius ; Dumbrav, Gabriel-Tefan ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:149-162.

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2019Mean reversion in stochastic mortality : why and how?. (2019). Devolder, Pierre ; Zeddouk, Fadoua. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019018.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2019Predictable Forward Performance Processes: The Binomial Case. (2018). Angoshtari, Bahman ; Yu, Xun ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1611.04494.

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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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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2019Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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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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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2019A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices. (2019). Korn, Ralf ; Wagner, Andreas ; Hinderks, Wieger. In: Papers. RePEc:arx:papers:1803.08831.

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2019Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

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2019Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1810.04725.

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2019Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

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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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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1901.02691.

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2019Granger 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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2019A fast method for pricing American options under the variance gamma model. (2019). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:1903.07519.

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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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2019Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384.

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2019Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. (2019). Arai, Takuji. In: Papers. RePEc:arx:papers:1904.12260.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Decomposition formula for jump diffusion models. (2019). Vives, Josep ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.06930.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152.

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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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2019Computational method for probability distribution on recursive relationships in financial applications. (2019). Lee, Kyungsub ; Park, Jong Jun. In: Papers. RePEc:arx:papers:1908.04959.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1910.01044.

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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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2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

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2019Infinitesimal generators for two-dimensional L\evy process-driven hypothesis testing. (2019). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:1911.08412.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan. In: Papers. RePEc:arx:papers:1912.06709.

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2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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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). Zhang, Chuanhai ; Liu, Zhi. In: Papers. RePEc:arx:papers:2010.07659.

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

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2020Recurrent Conditional Heteroskedasticity. (2020). Kohn, R ; M. -N. Tran, ; T. -N. Nguyen, . 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). Sasso, Emanuela ; Sabino, Piergiacomo ; Gardini, Matteo. 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). Zhu, Hongliang ; Azencott, Robert ; Kong, AO. In: Papers. RePEc:arx:papers:2011.04939.

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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:625.

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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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2019Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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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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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019Approximation Method Using Black-Scholes Formula for Path-Dependent Option Pricing under Lévy Models. (2019). Yamazaki, Akira ; Shiraya, Kenichiro ; Miyachi, Kaimon. In: CARF F-Series. RePEc:cfi:fseres:cf454.

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

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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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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2019Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-19.

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2019Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84.

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2019On a spiked model for large volatility matrix estimation from noisy high-frequency data. (2019). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:207-221.

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2019Detecting structural breaks in realized volatility. (2019). Baek, Changryong ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:134:y:2019:i:c:p:58-75.

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2019The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:5.

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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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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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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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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.
[Full Text][Citation analysis]		paper14
2008Bipower variation for Gaussian processes with stationary increments.(2008) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2008Measuring downside risk — realised semivariance In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
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