Neil Shephard : Citation Profile


Are you Neil Shephard?

Harvard University

29

H index

52

i10 index

6776

Citations

RESEARCH PRODUCTION:

49

Articles

134

Papers

EDITOR:

6

Books edited

RESEARCH ACTIVITY:

   27 years (1990 - 2017). See details.
   Cites by year: 250
   Journals where Neil Shephard has often published
   Relations with other researchers
   Recent citing documents: 720.    Total self citations: 99 (1.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh10
   Updated: 2019-10-06    RAS profile: 2018-11-06    
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Relations with other researchers


Works with:

Vignoles, Anna (3)

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 (200)

Bollerslev, Tim (160)

Asai, Manabu (155)

Koopman, Siem Jan (154)

Andersen, Torben (141)

Omori, Yasuhiro (132)

Yu, Jun (96)

Podolskij, Mark (91)

Diebold, Francis (82)

Meddahi, Nour (81)

Caporin, Massimiliano (76)

Cites to:

Barndorff-Nielsen, Ole (123)

Bollerslev, Tim (111)

Andersen, Torben (103)

Diebold, Francis (82)

Renault, Eric (75)

Ghysels, Eric (74)

Harvey, Andrew (73)

Engle, Robert (46)

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 Theory5
Journal of Business & Economic Statistics4
Econometrica4
Econometrics Journal4
Journal of Applied Econometrics3
Journal of Financial Econometrics2
Journal of Time Series Analysis2
Journal of the Royal Statistical Society Series B2
Review of Economic Studies2
Quantitative Finance2

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
IFS Working Papers / Institute for Fiscal Studies2

Recent works citing Neil Shephard (2018 and 2017)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2017-24.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

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2018Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Varneskov, Rasmus T ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2018-16.

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2018Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2018INFLATION AND INFLATION UNCERTAINTY IN LATIN AMERICA: A TIME-VARYING STOCHASTIC VOLATILITY IN MEAN APPROACH. (2018). Ferreira, Diego ; Palma, Andreza Aparecida. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:125.

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2017Measuring the Stance of Monetary Policy in a Time-Varying. (2017). Pérez Forero, Fernando. In: Working Papers. RePEc:apc:wpaper:2017-102.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1603.07020.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2017Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor. In: Papers. RePEc:arx:papers:1608.08468.

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2017Decoupling 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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2019Predictable Forward Performance Processes: The Binomial Case. (2018). Angoshtari, Bahman ; Yu, Xun ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1611.04494.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Topological Data Analysis of Financial Time Series: Landscapes of Crashes. (2017). Katz, Yuri ; Gidea, Marian . In: Papers. RePEc:arx:papers:1703.04385.

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

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2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537.

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

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2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. (2017). Kastner, Gregor ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1706.05280.

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2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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

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2017Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets. (2017). de Carvalho, Miguel ; Camilo, Daniela Castro ; Wadsworth, Jennifer . In: Papers. RePEc:arx:papers:1709.01198.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2017Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing. (2017). Rachev, Svetlozar ; Fabozzi, Frank J ; Stoyanov, Stoyan. In: Papers. RePEc:arx:papers:1710.03205.

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2019Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem. (2018). Sirignano, Justin ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1710.04273.

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2019Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2017Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013.

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2017Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M. In: Papers. RePEc:arx:papers:1711.11003.

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2017Estimation 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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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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2018First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing. (2018). Kim, Youngshin . In: Papers. RePEc:arx:papers:1801.09362.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883.

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2018Distributions of Historic Market Data -- Implied and Realized Volatility. (2018). Moghaddam, Dashti M ; Serota, R A ; Liu, Zhiyuan. In: Papers. RePEc:arx:papers:1804.05279.

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2018Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2018). Yang, Ben-Zhang ; Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia. In: Papers. RePEc:arx:papers:1805.06226.

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2018Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. (2018). Gellert, Karol ; Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.05387.

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

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2018Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco . In: Papers. RePEc:arx:papers:1807.01979.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Muguruza, Aitor ; Garc, David. In: Papers. RePEc:arx:papers:1808.03610.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Rego, Arthur T ; Dos, Thiago R. In: Papers. RePEc:arx:papers:1809.01501.

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2018Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing. (2018). Grbac, Zorana ; Tankov, Peter ; Krief, David. In: Papers. RePEc:arx:papers:1809.06153.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200.

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2018Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Zhang, Xiaowei ; Glynn, Peter W. In: Papers. RePEc:arx:papers:1811.00122.

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2018Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Zhang, Qiang ; Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui. In: Papers. RePEc:arx:papers:1811.03711.

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2018Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

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2018Limits 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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2018The Alpha-Heston Stochastic Volatility Model. (2018). Jiao, Ying ; Zhou, Chao ; Scotti, Simone ; Ma, Chunhua. In: Papers. RePEc:arx:papers:1812.01914.

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

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2019Granger 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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2019Time 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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2019Bayesian 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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2019Feature Engineering for Mid-Price Prediction Forecasting with Deep Learning. (2019). Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios ; Iosifidis, Alexandros. In: Papers. RePEc:arx:papers:1904.05384.

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

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

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. (2019). Arai, Takuji. In: Papers. RePEc:arx:papers:1904.12260.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Decomposition formula for jump diffusion models. (2019). Vives, Josep ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.06930.

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2019Modeling 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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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152.

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2019Fast 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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2019Computational method for probability distribution on recursive relationships in financial applications. (2019). Lee, Kyungsub ; Park, Jong Jun . In: Papers. RePEc:arx:papers:1908.04959.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019Performance of tail hedged portfolio with third moment variation swap. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05105.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2017Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-52.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Carriero, Andrea ; Corsello, Francesco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18.

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2017Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis.. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Working papers. RePEc:bfr:banfra:619.

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2017Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. (2017). Cielinska, Olga ; Vasios, Michalis ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-23.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2018Non-monetary news in central bank communication. (2018). Cieslak, Anna ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:761.

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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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paper13
2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
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This paper has another version. Agregated cites: 13
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2008Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 13
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
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paper179
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 179
article
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179
paper
2009Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179
paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179
paper
2010Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers.
[Full Text][Citation analysis]
paper9
2012Integer-valued Lévy processes and low latency financial econometrics.(2012) In: Quantitative Finance.
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This paper has another version. Agregated cites: 9
article
2015Continuous time analysis of fleeting discrete price moves In: Papers.
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paper3
2009Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper.
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