What is he best known for?
The fields of study he is best known for:
- Statistics
- Normal distribution
- Quantum mechanics
Ole E. Barndorff-Nielsen spends much of his time researching Econometrics, Realized variance, Quadratic variation, Volatility and Applied mathematics.
His study on Stochastic volatility is often connected to Bartlett's test as part of broader study in Econometrics.
His studies deal with areas such as Exchange rate, Mathematical economics, Jump process and Series as well as Stochastic volatility.
His Realized variance study integrates concerns from other disciplines, such as Analysis of covariance, Kernel, Estimator, Asymptotic distribution and Multivariate statistics.
His Quadratic variation study which covers Semimartingale that intersects with Brownian motion.
He interconnects Panel data, Cointegration and Time series in the investigation of issues within Volatility.
His most cited work include:
- Econometric analysis of realized volatility and its use in estimating stochastic volatility models (1669 citations)
- Power and Bipower Variation with Stochastic Volatility and Jumps (1388 citations)
- Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics (1333 citations)
What are the main themes of his work throughout his whole career to date?
His main research concerns Econometrics, Stochastic volatility, Volatility, Statistical physics and Applied mathematics.
His study in the fields of Realized variance under the domain of Econometrics overlaps with other disciplines such as Financial econometrics.
His Stochastic volatility study combines topics in areas such as Implied volatility, Volatility smile and Valuation of options.
Many of his research projects under Volatility are closely connected to Context with Context, tying the diverse disciplines of science together.
His biological study spans a wide range of topics, including Stochastic process, Gaussian process, Brownian motion and Turbulence, Intermittency.
His Applied mathematics research includes themes of Calculus and Malliavin calculus.
He most often published in these fields:
- Econometrics (30.94%)
- Stochastic volatility (24.31%)
- Volatility (22.38%)
What were the highlights of his more recent work (between 2008-2020)?
- Volatility (22.38%)
- Econometrics (30.94%)
- Stochastic volatility (24.31%)
In recent papers he was focusing on the following fields of study:
Ole E. Barndorff-Nielsen focuses on Volatility, Econometrics, Stochastic volatility, Statistical physics and Brownian motion.
The various areas that he examines in his Volatility study include Probabilistic logic, Stochastic integration, Quadratic variation, Applied mathematics and Malliavin derivative.
Ole E. Barndorff-Nielsen studies Realized variance which is a part of Econometrics.
His work deals with themes such as Martingale, Volatility smile and Multivariate statistics, which intersect with Stochastic volatility.
His research in Statistical physics focuses on subjects like Turbulence, which are connected to Dissipation.
His Brownian motion study also includes
- Intermittency that connect with fields like Scaling,
- Limit that intertwine with fields like Gaussian process,
- Semimartingale which intersects with area such as Stochastic process,
- Central limit theorem and related Pure mathematics,
- Asymptotic analysis together with Smoothness.
Between 2008 and 2020, his most popular works were:
- Information and Exponential Families in Statistical Theory (495 citations)
- Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (393 citations)
- Realized kernels in practice: trades and quotes (374 citations)
This overview was generated by a machine learning system which analysed the scientist’s
body of work. If you have any feedback, you can
contact us
here.
