H-Index & Metrics Top Publications
Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

H-Index & Metrics

Discipline name H-index Citations Publications World Ranking National Ranking
Mathematics H-index 73 Citations 30,227 206 World Ranking 96 National Ranking 1

Research.com Recognitions

Awards & Achievements

2001 - Royal Society of Edinburgh

1990 - Member of Academia Europaea

Overview

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.

Top Publications

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

Ole E. Barndorff-Nielsen;Neil Shephard.
Journal of The Royal Statistical Society Series B-statistical Methodology (2002)

2354 Citations

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

Ole E. Barndorff-Nielsen;Neil Shephard.
Journal of The Royal Statistical Society Series B-statistical Methodology (2001)

2250 Citations

Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff-Nielsen;Neil Shephard.
Journal of Financial Econometrics (2004)

2074 Citations

Processes of normal inverse Gaussian type

Ole E. Barndorff-Nielsen.
Finance and Stochastics (1997)

1603 Citations

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise ∗

Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard.
Econometrica (2008)

1461 Citations

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole Eiler Barndorff-Nielsen;Neil Shephard.
Journal of Financial Econometrics (2005)

1408 Citations

Information and Exponential Families in Statistical Theory

J. F. C. Kingman;O. Barndorff-Nielsen.
Journal of the Royal Statistical Society: Series A (General) (1979)

1368 Citations

Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

Ole E. Barndorff‐Nielsen.
Scandinavian Journal of Statistics (1997)

1095 Citations

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

Ole Eiler Barndorff-Nielsen;N. Shephard.
Econometrica (2004)

929 Citations

Exponentially Decreasing Distributions for the Logarithm of Particle Size

O. Barndorff-Nielsen.
Proceedings of The Royal Society A: Mathematical, Physical and Engineering Sciences (1977)

899 Citations

Profile was last updated on December 6th, 2021.
Research.com Ranking is based on data retrieved from the Microsoft Academic Graph (MAG).
The ranking h-index is inferred from publications deemed to belong to the considered discipline.

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