Ole E. Barndorff-Nielsen : Citation Profile


Are you Ole E. Barndorff-Nielsen?

Aarhus Universitet

18

H index

25

i10 index

3126

Citations

RESEARCH PRODUCTION:

27

Articles

60

Papers

RESEARCH ACTIVITY:

   37 years (1973 - 2010). See details.
   Cites by year: 84
   Journals where Ole E. Barndorff-Nielsen has often published
   Relations with other researchers
   Recent citing documents: 190.    Total self citations: 41 (1.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba592
   Updated: 2018-04-14    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 (109)

Andersen, Torben (97)

Podolskij, Mark (79)

McAleer, Michael (70)

Meddahi, Nour (53)

Asai, Manabu (46)

Hansen, Peter (44)

Patton, Andrew (44)

Diebold, Francis (42)

Corsi, Fulvio (39)

Baruník, Jozef (39)

Cites to:

Shephard, Neil (153)

Bollerslev, Tim (77)

Andersen, Torben (71)

Diebold, Francis (47)

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
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 (2018 and 2017)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices. (2017). Proietti, Tommaso ; Giovannelli, Alessandro. In: CREATES Research Papers. RePEc:aah:create:2017-20.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1603.07020.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich . In: Papers. RePEc:arx:papers:1605.00868.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Predictable Forward Performance Processes: The Binomial Case. (2017). Angoshtari, Bahman ; Yu, Xun ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1611.04494.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537.

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

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2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2018Testing if the market microstructure noise is a function of the limit order book. (2018). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1709.02502.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2017Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013.

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2017Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M. In: Papers. RePEc:arx:papers:1711.11003.

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2018A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node. (2018). Sobhani, Amirhossein ; Milev, Mariyan. In: Papers. RePEc:arx:papers:1712.01060.

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2017Estimation 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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2018A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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2018Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models. (2018). Arai, Takuji ; Nakashima, Ryo ; Imai, Yuto. In: Papers. RePEc:arx:papers:1801.05597.

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2018First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing. (2018). Kim, Youngshin . In: Papers. RePEc:arx:papers:1801.09362.

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2018A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2017Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric . In: Staff Working Papers. RePEc:bca:bocawp:17-52.

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2017Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. (2017). Cielinska, Olga ; Vasios, Michalis ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-23.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2017Vector Stochastic Processes with Pólya-Type Correlation Structure. (2017). Ma, Chunsheng . In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:2:p:340-354.

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2017Penalised Complexity Priors for Stationary Autoregressive Processes. (2017). Sorbye, Sigrunn Holbek ; Rue, Hvard . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:923-935.

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2017Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference. (2017). Nguyen, Michele. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:1:p:46-80.

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2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). Noss, Joseph ; Crowley-Reidy, Liam ; Linton, Oliver ; Tobek, Ondrej ; Pedace, Lucas. In: Bank of England working papers. RePEc:boe:boeewp:0687.

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2017Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging. (2017). Vasios, Michalis ; Cielinska, Olga ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: Bank of England Financial Stability Papers. RePEc:boe:finsta:0041.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2.

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2017Empirical likelihood for high frequency data. (2017). Otsu, Taisuke ; Camponovo, Lorenzo ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:591.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3014.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2018Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Nishimura, Yusaku ; Hirayama, Kenjiro ; Tsutsui, Yoshiro. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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2017Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2017On estimating market microstructure noise variance. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:59-62.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Li, Jia ; Tauchen, George ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

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2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

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2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Chen, Rui ; Li, Jia ; Todorov, Viktor ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef ; Kehlik, Toma . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:208-218.

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2017Bayesian calibration and number of jump components in electricity spot price models. (2017). Gonzalez, Jhonny ; Palczewski, Jan ; Moriarty, John . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:375-388.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Feng, Jiabao ; Yin, Libo ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

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2017Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Jlassi, Mouna ; Bekiros, Stelios. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

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2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

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2017A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. (2017). Tunaru, Radu ; Cantia, Catalin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:21-35.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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2017Beta forecasting at long horizons. (2017). Cenesizoglu, Tolga ; Reeves, Jonathan J ; de Oliveira, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:936-957.

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2018Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2017Information Shocks and Short-Term Market Underreaction. (2017). Jiang, George J ; Zhu, Kevin X. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:43-64.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2017Option-implied expectations in commodity markets and monetary policy. (2017). Triantafyllou, Athanasios ; Dotsis, George . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:1-17.

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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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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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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: 147
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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.
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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.
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2009Multipower Variation for Brownian Semistationary Processes In: CREATES Research Papers.
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2009Stochastic volatility of volatility in continuous time In: CREATES Research Papers.
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2009The multivariate supOU stochastic volatility model In: CREATES Research Papers.
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2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes In: CREATES Research Papers.
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2010Ambit processes and stochastic partial differential equations In: CREATES Research Papers.
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2010Modelling energy spot prices by Lévy semistationary processes In: CREATES Research Papers.
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2010Modelling electricity forward markets by ambit fields In: CREATES Research Papers.
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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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1999Tail Exactness of Multivariate Saddlepoint Approximations In: Scandinavian Journal of Statistics.
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2000Exact Distributional Results for Random Resistance Trees In: Scandinavian Journal of Statistics.
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2003Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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2005Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes In: Scandinavian Journal of Statistics.
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2007Lévy Copulas: Dynamics and Transforms of Upsilon Type In: Scandinavian Journal of Statistics.
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2006LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory.
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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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1991Information quantities in non-classical settings In: Computational Statistics & Data Analysis.
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2006Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics.
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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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1973On the parametrization of autoregressive models by partial autocorrelations In: Journal of Multivariate Analysis.
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2002Estimating quadratic variation using realized variance In: Journal of Applied Econometrics.
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2001Integrated OU Processes In: Economics Papers.
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2001Normal modified stable processes In: Economics Papers.
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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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2001Realised power variation and stochastic volatility models In: Economics Papers.
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2001Estimating quadratic variation using realised volatility In: Economics Papers.
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2001Some recent developments in stochastic volatility modelling In: Economics Papers.
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2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers.
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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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2002Power Variation and Time Change In: Economics Papers.
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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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2003Power variation & stochastic volatility: a review and some new results In: Economics Papers.
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2003Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers.
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2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: Journal of Financial Econometrics.
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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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2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
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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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2004A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers.
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2004A feasible central limit theory for realised volatility under leverage.(2004) In: OFRC Working Papers Series.
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2004Multipower Variation and Stochastic Volatility In: Economics Papers.
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2004Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series.
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2005Limit theorems for multipower variation in the presence of jumps In: Economics Papers.
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2005Limit theorems for multipower variation in the presence of jumps.(2005) In: OFRC Working Papers Series.
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2005Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers.
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2005Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: Economics Series Working Papers.
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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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2010Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers.
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2010Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers.
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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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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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1995Quasi profile and directed likelihoods from estimating functions In: Annals of the Institute of Statistical Mathematics.
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1997Processes of normal inverse Gaussian type In: Finance and Stochastics.
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article38
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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