Neil Shephard : Citation Profile


Are you Neil Shephard?

Harvard University

31

H index

56

i10 index

8148

Citations

RESEARCH PRODUCTION:

54

Articles

136

Papers

EDITOR:

6

Books edited

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 271
   Journals where Neil Shephard has often published
   Relations with other researchers
   Recent citing documents: 542.    Total self citations: 91 (1.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh10
   Updated: 2021-09-25    RAS profile: 2019-10-15    
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Relations with other researchers


Works with:

Vignoles, Anna (4)

Dearden, Lorraine (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Neil Shephard.

Is cited by:

McAleer, Michael (208)

Bollerslev, Tim (193)

Koopman, Siem Jan (165)

Asai, Manabu (162)

Andersen, Torben (144)

Omori, Yasuhiro (132)

Yu, Jun (110)

Podolskij, Mark (87)

Diebold, Francis (84)

Meddahi, Nour (82)

Caporin, Massimiliano (77)

Cites to:

Barndorff-Nielsen, Ole (122)

Bollerslev, Tim (113)

Andersen, Torben (100)

Diebold, Francis (82)

Renault, Eric (75)

Ghysels, Eric (74)

Harvey, Andrew (74)

Engle, Robert (49)

Meddahi, Nour (40)

Lunde, Asger (37)

Hansen, Peter (36)

Main data


Where Neil Shephard has published?


Journals with more than one article published# docs
Journal of Econometrics12
Econometric Theory4
Econometrics Journal4
Econometrica4
Journal of Business & Economic Statistics4
Journal of Time Series Analysis3
Journal of Applied Econometrics3
Journal of the Royal Statistical Society Series B3
Oxford Bulletin of Economics and Statistics2
Quantitative Finance2
Journal of Financial Econometrics2
Review of Economic Studies2
Scandinavian Journal of Statistics2

Working Papers Series with more than one paper published# docs
OFRC Working Papers Series / Oxford Financial Research Centre25
Economics Series Working Papers / University of Oxford, Department of Economics19
Working Paper / Harvard University OpenScholar4
Papers / arXiv.org2
IFS Working Papers / Institute for Fiscal Studies2

Recent works citing Neil Shephard (2021 and 2020)


YearTitle of citing document
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2021Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2021-12.

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2020Exploring the Inflationary Effect of Oil Price Volatility in Africas Oil Exporting Countries. (2020). Adekunle, Ibrahim A ; George, Emmanuel O ; Ogede, Sina J. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/020.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2020Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2020Double Deep Q-Learning for Optimal Execution. (2018). Jaimungal, Sebastian ; Ho, Franco ; Ning, Brian. In: Papers. RePEc:arx:papers:1812.06600.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2021Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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2020A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153.

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2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2020Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2020A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008.

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2020Generalized Poisson Difference Autoregressive Processes. (2020). Casarin, Roberto ; Robert, Christian P ; Carallo, Giulia. In: Papers. RePEc:arx:papers:2002.04470.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2020Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes. (2020). Yang, Jingping ; Zang, Xin ; Jiang, Fan. In: Papers. RePEc:arx:papers:2003.06218.

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2020Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810.

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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2021Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786.

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2020Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889.

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2020Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Korobilis, Dimitris ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2004.11486.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020The Interaction Between Credit Constraints and Uncertainty Shocks. (2020). Kohn, Robert ; Gunawan, David ; Chatterjee, Pratiti . In: Papers. RePEc:arx:papers:2004.14719.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. (2020). Pfarrhofer, Michael ; Huber, Florian. In: Papers. RePEc:arx:papers:2005.06851.

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2020Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model. (2020). Arai, Takuji. In: Papers. RePEc:arx:papers:2005.07393.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2021First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models. (2020). Posp, J ; Danvek, Josef. In: Papers. RePEc:arx:papers:2006.13181.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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2020Fourier instantaneous estimators and the Epps effect. (2020). Chang, Patrick. In: Papers. RePEc:arx:papers:2007.03453.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2020Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2008.00718.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130.

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2020Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2021Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2020Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909.

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2020Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147.

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2020A New Parametrization of Correlation Matrices. (2020). Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02395.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2021Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251.

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2021Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (2021). Sengupta, Indranil ; Hui, Xianfei ; Sun, Baiqing ; Jiang, Hui. In: Papers. RePEc:arx:papers:2101.08984.

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2021Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112.

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2021Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2021Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252.

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2021Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting. (2021). Benhamou, Eric ; Chareyron, Franccois ; Wong, Sui Kai ; Tabachnik, Serge ; Saltiel, David. In: Papers. RePEc:arx:papers:2104.10483.

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2021On the joint volatility dynamics in dairy markets. (2021). Rezitis, Anthony ; Kastner, Gregor. In: Papers. RePEc:arx:papers:2104.12707.

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2021Algorithm is Experiment: Machine Learning, Market Design, and Policy Eligibility Rules. (2021). Narita, Yusuke ; Yata, Kohei. In: Papers. RePEc:arx:papers:2104.12909.

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2021FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190.

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2021Optimal Execution with Quadratic Variation Inventories. (2021). Carmona, Rene ; Leal, Laura. In: Papers. RePEc:arx:papers:2104.14615.

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2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325.

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2021Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071.

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2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

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2021Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Economic Recession Prediction Using Deep Neural Network. (2021). Liu, Hongfu ; Xia, Steve Q ; Wang, Zihao. In: Papers. RePEc:arx:papers:2107.10980.

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2021A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks. (2021). Sengupta, Indranil ; Patnaik, Sohan ; Jiruwala, Nuruddin ; Ekapure, Shubham. In: Papers. RePEc:arx:papers:2107.14695.

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2021Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2021Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. (2021). Yu, Xun ; Jia, Yanwei. In: Papers. RePEc:arx:papers:2108.06655.

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2021A Novel Hydro - Economic - Econometric Approach for Integrated Transboundary Water Management under Uncertainty. (2021). Kartala, Xanthi ; Englezos, Nikolaos ; Alamanos, Angelos ; Tsionas, Mike ; Koundouri, Phoebe. In: DEOS Working Papers. RePEc:aue:wpaper:2101.

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2020Understanding Trend Inflation Through the Lens of the Goods and Services Sectors. (2020). Wong, Benjamin ; Uzeda, Luis ; Eo, Yunjong. In: Staff Working Papers. RePEc:bca:bocawp:20-45.

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2020Indicators of uncertainty: a brief user’s guide. (2020). Rossi, Luca. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_564_20.

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2020The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20.

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2020Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band. (2020). Hernandez, Juan Ramon. In: Working Papers. RePEc:bdm:wpaper:2020-02.

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2021Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19. (2021). Ricciulli-Marin, Diana ; PEREZ-VALBUENA, GERSON ; Bonet, Jaime ; Barrios, Paula ; Bonet-Moron, Jaime. In: Documentos de trabajo sobre Economía Regional y Urbana. RePEc:bdr:region:297.

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2021Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano. (2021). Collazos-Rodriguez, Jaime Andres ; Sanabria-Dominguez, Johana ; Vidal-Alejandro, Pavel ; Orozco-Gallo, Antonio Jose. In: Documentos de trabajo sobre Economía Regional y Urbana. RePEc:bdr:region:298.

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2021On the joint volatility dynamics in international dairy commodity markets. (2021). Kastner, Gregor ; Rezitis, Anthony N. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:65:y:2021:i:3:p:704-728.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020Cash Flow News and Stock Price Dynamics. (2020). Pettenuzzo, Davide ; Sabbatucci, Riccardo ; Timmermann, Allan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2221-2270.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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More than 100 citations found, this list is not complete...

Neil Shephard has edited the books:


YearTitleTypeCited

Works by Neil Shephard:


YearTitleTypeCited
2008Measuring downside risk — realised semivariance In: CREATES Research Papers.
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2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
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This paper has another version. Agregated cites: 19
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2008Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series.
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2012Integer-valued L?vy processes and low latency financial econometrics In: Quantitative Finance.
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