
Ole E. Barndorff-Nielsen
You can contact Ole E. Barndorff-Nielsen by email on
oebn@imf.au.dk.
Phone: (+45) 8942 3521.
Address:
Department of Mathematical Sciences,
Ny Munkegade Building 530,
DK-8000 Aarhus C, Denmark.
Function(s):
Scientific director.
Interests:
Stochastics.
Publications:
While affiliated to the Centre, Ole E. Barndorff-Nielsen
has (co)-authored the following Centre publications
(most recent first):
- Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics (April 2002)
- Realised power variation and stochastic volatility models (March 2002)
- Lévy Laws and Processes in Free Probability (November 2001)
- General Framework for the Behaviour of Continuously Observed Open Quantum Systems (August 2001)
[J. Physics A: Math. Gen. 35, 565-588 (2002)]
- Higher order variation and stochastic volatility models (July 2001)
[Submitted.]
- On Quantum Statistical Inference (July 2001)
[Submitted.]
- Normal modified stable processes (June 2001)
[Submitted.]
- Integrated OU processes and non-Gaussian OU-based stochastic volatility models (June 2001)
[Submitted.]
- Selfdecomposability and Lévy Processes in Free Probability (January 2001)
[Bernoulli 7 (2001). (To appear.)]
- Feller Processes of Normal Inverse Gaussian Type (December 2000)
[Quantitative Finance 1 (2001), 318-331.]
- Multivariate Subordination, Selfdecomposability and Stability (July 2000)
[Adv. Appl. Prob. 33, (2001), 160-187.]
- Multivariate Type $\mathcal{G}$ Distributions (July 2000)
[Revised version to appear in Theory Prob. Its Appl. (2002)]
- Light, Atoms, and Singularities (May 2000)
[Proceedings of Third Seminar on Stochastic Analysis, Random Fields and
Applications. (To appear.)]
- Probability densities and Lévy densities (May 2000)
[Submitted.]
- Modelling by Lévy Processes for Financial Econometrics (May 2000)
[In O.E. Barndorff-Nielsen, T. Mikosch and S. Resnick (Eds.): Lévy
Processes - Theory and Applications. Boston: Birkhauser.
Pp. 283-318.]
- Markov jump processes with a singularity (November 1999)
[Ann. Appl. Prob. 32 (2000), 779-799.]
- Laser Cooling and Stochastics (October 1999)
[In M.C.M. de Gunst, C.A.J. Klaassen and A.W. van der Vaart (Eds.): State
of the Art in Probability and Mathematical Statistics; Festschrift for Willem R.
van Zwet. Lecture Notes - Monograph Series. Inst. Mathematical Statistics.
(2000), 50-71.]
- Superposition of Ornstein-Uhlenbeck Type Processes (January 1999)
[Theory Prob. Its Appl. 45 (2001)]
- Exact Distributional Results for Random Resistance Trees (September 1998)
[Scand. J. Statist. 27 (2000), no. 1, 129--141]
- Incorporation of a Leverage Effect in a Stochastic Volatility Model (September 1998)
- An Example of Non-Attainability of Expected Quantum Information (August 1998)
[J. Phys. A: Math. Gen. 33 (2000) 4481-4490]
- Stationary and selfsimilar processes driven by Lévy processes (April 1998)
[Stochastic Process. Appl. 84 (1999), no. 2, 357--369]
If you (or your Institution) subscribes to MathSciNet
you may look up publications printed in
1997 or later
that has been reviewed in Math. Reviews, and that was authored by Barndorff-Nielsen, O.
You may also wish to see the
BibTeX
file for Ole E. Barndorff-Nielsen (covering appeared papers for the period 1997-2000).