Identification and Inference for Econometric Models

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Variation, jumps, market frictions and high frequency data in financial econometrics (2005, positive): “Closer to the content of this paper, Barndorff-Nielsen and Shephard (2005b) study the first two moments of realised QV when Yt = Zτ t ,where τ is the integral of a non-negative covariance stationary process, that is a process with non-decreasing sample paths, and Z is a Lévy process.”
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007, background): “The central limit theorem (CLT) (64) is based on the asymptotic theory of Barndorff-Nielsen and Shephard (2005), which involves a finite sample correction (65) on some important earlier limit theory contributions made by Jacod (1994) and Barndorff-Nielsen and Shephard (2002).”
Consistent Estimation with a Large Number of Weak Instruments (2005, neutral): “In particular, we do not require the instruments, Zi, to be i.i.d., as in Stock and Yogo (2003b), Hansen, Hausman, and Newey (2004), and Newey (2004); nor do we impose restrictions on the amount of correlation across the components of Zi (i.e. across the index k in Zik), as in Han and Phillips…”