207 citations · 617 across the 16 of their papers we have counts for
17 papers
Incremental Similarity and Turbulence
Ole E. Barndorff-Nielsen, Juergen Schmiegel
This paper discusses the mathematical representation of an empirically observed phenomenon, referred to as Incremental Similarity. We discuss this feature from the viewpoint of sto…
Selfdecomposable Fields
Ole E. Barndorff-Nielsen, Orimar Sauri, Benedykt Szozda
In the present paper we study selfdecomposability of random fields, as defined directly rather than in terms of finite-dimensional distributions. The main tools in our analysis are…
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework…
Assessing Relative Volatility/Intermittency/Energy Dissipation
Ole E. Barndorff-Nielsen, Mikko S. Pakkanen, Jürgen Schmiegel
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volat…
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
Ole E. Barndorff-Nielsen, Fred Espen Benth, Benedykt Szozda
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions…
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. Th…