Ole Eiler Barndorff-Nielsen and financial econometrics

This note reviews some of the contributions Ole Eiler Barndorff-Nielsen made to financial econometrics.  He was particularly active in that area from the mid-nineties for around a dozen years.  His innovations include the NIG Lévy process, the Barndorff-Nielsen-Shephard model, the supOU process, the formalization of realized volatility and realised beta, the introduction of bipower variation, realized semivariance, realized kernels and gradual jumps.