29
H index
52
i10 index
6484
Citations
Harvard University | 29 H index 52 i10 index 6484 Citations RESEARCH PRODUCTION: 49 Articles 134 Papers EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Neil Shephard. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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OFRC Working Papers Series / Oxford Financial Research Centre | 25 |
Economics Series Working Papers / University of Oxford, Department of Economics | 19 |
Working Paper / Harvard University OpenScholar | 4 |
IFS Working Papers / Institute for Fiscal Studies | 2 |
Year | Title of citing document | |
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2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | |
2017 | Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30. Full description at Econpapers || Download paper | |
2018 | Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Hounyo, Ulrich ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-16. Full description at Econpapers || Download paper | |
2018 | Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18. Full description at Econpapers || Download paper | |
2018 | Realizing Correlations Across Asset Classes. (2018). Gronborg, Niels S ; Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
2018 | INFLATION 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. Full description at Econpapers || Download paper | |
2017 | Measuring the Stance of Monetary Policy in a Time-Varying. (2017). Pérez Forero, Fernando. In: Working Papers. RePEc:apc:wpaper:2017-102. Full description at Econpapers || Download paper | |
2018 | Model-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. Full description at Econpapers || Download paper | |
2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers || Download paper | |
2018 | Augmented 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. Full description at Econpapers || Download paper | |
2017 | The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868. Full description at Econpapers || Download paper | |
2018 | Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895. Full description at Econpapers || Download paper | |
2017 | Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor. In: Papers. RePEc:arx:papers:1608.08468. Full description at Econpapers || Download paper | |
2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2018 | Predictable Forward Performance Processes: The Binomial Case. (2018). Angoshtari, Bahman ; Yu, Xun ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1611.04494. Full description at Econpapers || Download paper | |
2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
2017 | Topological Data Analysis of Financial Time Series: Landscapes of Crashes. (2017). Katz, Yuri ; Gidea, Marian . In: Papers. RePEc:arx:papers:1703.04385. Full description at Econpapers || Download paper | |
2017 | Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028. Full description at Econpapers || Download paper | |
2017 | High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175. Full description at Econpapers || Download paper | |
2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537. Full description at Econpapers || Download paper | |
2017 | Realized volatility and parametric estimation of Heston SDEs. (2017). Azencott, Robert ; Timofeyev, Ilya ; Ren, Peng. In: Papers. RePEc:arx:papers:1706.04566. Full description at Econpapers || Download paper | |
2017 | Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073. Full description at Econpapers || Download paper | |
2017 | Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339. Full description at Econpapers || Download paper | |
2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper | |
2018 | Dynamic 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. Full description at Econpapers || Download paper | |
2017 | Time-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. Full description at Econpapers || Download paper | |
2018 | Testing 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. Full description at Econpapers || Download paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
2017 | Behavioral 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. Full description at Econpapers || Download paper | |
2018 | Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem. (2018). Sirignano, Justin ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1710.04273. Full description at Econpapers || Download paper | |
2017 | Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078. Full description at Econpapers || Download paper | |
2017 | Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013. Full description at Econpapers || Download paper | |
2017 | Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M. In: Papers. RePEc:arx:papers:1711.11003. Full description at Econpapers || Download paper | |
2017 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | First 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. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883. Full description at Econpapers || Download paper | |
2018 | Distributions of Historic Market Data -- Implied and Realized Volatility. (2018). Moghaddam, Dashti M ; Serota, R A ; Liu, Zhiyuan. In: Papers. RePEc:arx:papers:1804.05279. Full description at Econpapers || Download paper | |
2018 | Volatility 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. Full description at Econpapers || Download paper | |
2018 | Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. (2018). Gellert, Karol ; Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.05387. Full description at Econpapers || Download paper | |
2018 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2018 | Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco . In: Papers. RePEc:arx:papers:1807.01979. Full description at Econpapers || Download paper | |
2018 | Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423. Full description at Econpapers || Download paper | |
2018 | On 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. Full description at Econpapers || Download paper | |
2018 | A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489. Full description at Econpapers || Download paper | |
2018 | Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Rego, Arthur T ; Dos, Thiago R. In: Papers. RePEc:arx:papers:1809.01501. Full description at Econpapers || Download paper | |
2018 | Long-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. Full description at Econpapers || Download paper | |
2018 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928. Full description at Econpapers || Download paper | |
2018 | Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200. Full description at Econpapers || Download paper | |
2018 | Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Zhang, Xiaowei ; Glynn, Peter W. In: Papers. RePEc:arx:papers:1811.00122. Full description at Econpapers || Download paper | |
2018 | Benchmarking 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. Full description at Econpapers || Download paper | |
2018 | Estimation 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. Full description at Econpapers || Download paper | |
2018 | Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595. Full description at Econpapers || Download paper | |
2018 | The Alpha-Heston Stochastic Volatility Model. (2018). Jiao, Ying ; Zhou, Chao ; Scotti, Simone ; Ma, Chunhua. In: Papers. RePEc:arx:papers:1812.01914. Full description at Econpapers || Download paper | |
2018 | Double Deep Q-Learning for Optimal Execution. (2018). Ning, Brian ; Jaimungal, Sebastian ; Ho, Franco. In: Papers. RePEc:arx:papers:1812.06600. Full description at Econpapers || Download paper | |
2018 | Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149. Full description at Econpapers || Download paper | |
2019 | Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419. Full description at Econpapers || Download paper | |
2019 | The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691. Full description at Econpapers || Download paper | |
2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632. Full description at Econpapers || Download paper | |
2017 | The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber. Full description at Econpapers || Download paper | |
2017 | Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-52. Full description at Econpapers || Download paper | |
2018 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2017 | Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis.. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Working papers. RePEc:bfr:banfra:619. Full description at Econpapers || Download paper | |
2017 | Gauging 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. Full description at Econpapers || Download paper | |
2018 | Cross-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. Full description at Econpapers || Download paper | |
2018 | Non-monetary news in central bank communication. (2018). Cieslak, Anna ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:761. Full description at Econpapers || Download paper | |
2018 | Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand. (2018). Laksomya, Nattapong ; Treepongkaruna, Sirimon ; Tanthanongsakkun, Suparatana ; Powell, John G. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:275-309. Full description at Econpapers || Download paper | |
2018 | DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760. Full description at Econpapers || Download paper | |
2018 | Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236. Full description at Econpapers || Download paper | |
2017 | A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490. Full description at Econpapers || Download paper | |
2017 | Vector Stochastic Processes with Pólya-Type Correlation Structure. (2017). Ma, Chunsheng. In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:2:p:340-354. Full description at Econpapers || Download paper | |
2017 | Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Omori, Yasuhiro ; Ishihara, Tsunehiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94. Full description at Econpapers || Download paper | |
2018 | WILL THE “TRUE” LABOR SHARE STAND UP? AN APPLIED SURVEY ON LABOR SHARE MEASURES. (2018). Mućk, Jakub ; McAdam, Peter ; Growiec, Jakub ; Muk, Jakub. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:961-984. Full description at Econpapers || Download paper | |
2017 | Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Sun, Tao ; MacMinn, Richard D ; Chen, Hua ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415. Full description at Econpapers || Download paper | |
2017 | Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference. (2017). Veraart, Almut ; Nguyen, Michele. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:1:p:46-80. Full description at Econpapers || Download paper | |
2018 | Dutch Disease Dynamics Reconsidered. (2018). Torvik, Ragnar ; Thorsrud, Leif ; Bjørnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0062. Full description at Econpapers || Download paper | |
2018 | Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064. Full description at Econpapers || Download paper | |
2018 | A composite likelihood approach for dynamic structural models. (2018). Canova, Fabio ; Matthes, Christian. In: Working Papers. RePEc:bny:wpaper:0068. Full description at Econpapers || Download paper | |
2018 | On the China factor in international oil markets: A regime switching approach. (2018). Cross, Jamie L ; Nguyen, Bao H ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0069. Full description at Econpapers || Download paper | |
2018 | International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie L ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070. Full description at Econpapers || Download paper | |
2018 | Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953. Full description at Econpapers || Download paper | |
2018 | Monetary Policy Lessons from the Greenbook. (2018). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:955. Full description at Econpapers || Download paper | |
2017 | The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). LINTON, OLIVER ; Crowley-Reidy, Liam ; Tobek, Ondrej ; Pedace, Lucas ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0687. Full description at Econpapers || Download paper | |
2017 | Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging. (2017). Vasios, Michalis ; Cielinska, Olga ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: Bank of England Financial Stability Papers. RePEc:boe:finsta:0041. Full description at Econpapers || Download paper | |
2017 | High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099. Full description at Econpapers || Download paper | |
2017 | Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2. Full description at Econpapers || Download paper | |
2018 | High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120. Full description at Econpapers || Download paper | |
2017 | Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14. Full description at Econpapers || Download paper | |
2018 | Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6. Full description at Econpapers || Download paper | |
2017 | Empirical likelihood for high frequency data. (2017). Otsu, Taisuke ; Camponovo, Lorenzo ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:591. Full description at Econpapers || Download paper | |
2018 | State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074. Full description at Econpapers || Download paper | |
2018 | Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273. Full description at Econpapers || Download paper | |
2018 | Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803. Full description at Econpapers || Download paper | |
2018 | Realized Volatility as an Instrument to Official Intervention. (2018). Ribeiro, Joo Barata. In: Investigación Conjunta-Joint Research. RePEc:cml:incocp:5en-8. Full description at Econpapers || Download paper | |
2018 | Muddying the waters: Who Induces Volatility in an Emerging Market?. (2018). Agudelo, Diego ; Gencay, Ramazan ; Yepes-Henao, Paula A. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016974. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2008 | Measuring downside risk — realised semivariance In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2008 | Measuring downside risk-realised semivariance.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2008 | Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 164 |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 164 | article | |
2011 | Multivariate 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: 164 | paper | |
2009 | Multivariate 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: 164 | paper | |
2008 | Multivariate 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: 164 | paper | |
2008 | Multivariate 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: 164 | paper | |
2008 | Multivariate 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: 164 | paper | |
2010 | Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | Integer-valued Lévy processes and low latency financial econometrics.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2015 | Continuous time analysis of fleeting discrete price moves In: Papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | Continuous Time Analysis of Fleeting Discrete Price Moves.(2017) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 2 |
1996 | Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 171 |
2002 | Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2010 | DEFERRED FEES FOR UNIVERSITIES In: Economic Affairs. [Full Text][Citation analysis] | article | 0 |
2010 | Deferred fees for universities.(2010) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2001 | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 391 |
2002 | Econometric analysis of realized volatility and its use in estimating stochastic volatility models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 667 |
2001 | Econometric analysis of realised volatility and its use in estimating stochastic volatility models.(2001) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 667 | paper | |
2001 | Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.(2001) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 667 | paper | |
1990 | ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2003 | Likelihood analysis of a first-order autoregressive model with exponential innovations In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 8 |
2008 | The ACR Model: A Multivariate Dynamic Mixture Autoregression In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 21 |
2008 | The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2014 | Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 2 |
1990 | A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1992 | Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 5 |
1992 | Deletion Diagnostics and Transformations for Time Series In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1993 | Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 15 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2005 | The Autoregressive Conditional Root (ACR) Model In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2006 | LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory. [Full Text][Citation analysis] | article | 62 |
2005 | Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
2005 | Limit theorems for bipower variation in financial econometrics.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
2011 | BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 46 |
2008 | Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
1991 | From Characteristic Function to Distribution Function: A Simple Framework for the Theory In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
1992 | Tabulation of Farebrothers Test for Linear Restrictions In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
1993 | Distribution of the ML Estimator of an MA(1) and a local level model In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
2001 | Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica. [Citation analysis] | article | 149 |
1998 | Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers. [Citation analysis] This paper has another version. Agregated cites: 149 | paper | |
2000 | Likelihood inference for discretely observed non-linear diffusions.(2000) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 149 | paper | |
2004 | Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica. [Full Text][Citation analysis] | article | 179 |
2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica. [Full Text][Citation analysis] | article | 49 |
2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2008 | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica. [Full Text][Citation analysis] | article | 354 |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 354 | paper | |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 354 | paper | |
2000 | BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Realized kernels in practice: trades and quotes In: Econometrics Journal. [Full Text][Citation analysis] | article | 149 |
1998 | Simulation-based likelihood inference for limited dependent processes In: Econometrics Journal. [Citation analysis] | article | 8 |
1998 | Foreword by the Editors In: Econometrics Journal. [Citation analysis] | article | 0 |
1999 | Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal. [Citation analysis] | article | 186 |
1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 186 | paper | |
2002 | Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 185 |
2006 | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
2003 | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.(2003) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2006 | Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 95 |
2007 | Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 131 |
2009 | Testing the assumptions behind importance sampling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
2011 | Realized Volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2006 | Subsampling realised kernels.(2006) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2014 | Multivariate rotated ARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
2012 | Multivariate Rotated ARCH Models.(2012) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2012 | Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2017 | Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
1994 | Local scale models : State space alternative to integrated GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
1997 | Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2006 | Limit theorems for multipower variation in the presence of jumps In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 51 |
2005 | Limit theorems for multipower variation in the presence of jumps.(2005) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2005 | Limit theorems for multipower variation in the presence of jumps.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2015 | Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession In: IFS Working Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background In: IFS Working Papers. [Full Text][Citation analysis] | paper | 5 |
2016 | How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2002 | Estimating quadratic variation using realized variance In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 172 |
2010 | Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 132 |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
1993 | Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 20 |
1994 | Stochastic volatility: likelihood inference and comparison with ARCH models In: Economics Papers. [Full Text][Citation analysis] | paper | 702 |
1996 | Stochastic volatility: likelihood inference and comparison with ARCH models..(1996) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 702 | paper | |
1998 | Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.(1998) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 702 | article | |
1996 | STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 702 | paper | |
1995 | Generalized linear autoregressions In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
1995 | Likelihood analysis of non-Gaussian parameter driven models In: Economics Papers. [Full Text][Citation analysis] | paper | 15 |
1995 | Likelihood Analysis of Non-Gaussian Parameter-Driven Models..(1995) In: Economics Papers. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
1996 | Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2001 | Integrated OU Processes In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2001 | Normal modified stable processes In: Economics Papers. [Full Text][Citation analysis] | paper | 20 |
2001 | Normal Modified Stable Processes.(2001) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2001 | Higher order variation and stochastic volatility models In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | How accurate is the asymptotic approximation to the distribution of realised volatility? In: Economics Papers. [Full Text][Citation analysis] | paper | 17 |
2001 | Realised power variation and stochastic volatility models In: Economics Papers. [Full Text][Citation analysis] | paper | 11 |
2001 | Estimating quadratic variation using realised volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 3 |
2001 | Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers. [Full Text][Citation analysis] | paper | 4 |
2001 | Some recent developments in stochastic volatility modelling In: Economics Papers. [Full Text][Citation analysis] | paper | 27 |
2002 | Some recent developments in stochastic volatility modelling.(2002) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2001 | Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Dynamics of trade-by-trade price movements: decomposition and models In: Economics Papers. [Full Text][Citation analysis] | paper | 71 |
2003 | Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.(2003) In: Journal of Financial Econometrics. [Citation analysis] This paper has another version. Agregated cites: 71 | article | |
2002 | Dynamics of trade-by-trade price movements: decomposition and models.(2002) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2002 | Autoregressive conditional root model In: Economics Papers. [Full Text][Citation analysis] | paper | 9 |
2002 | Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics.(2002) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2002 | Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2002 | Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Power Variation and Time Change In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2003 | Power and bipower variation with stochastic volatility and jumps In: Economics Papers. [Full Text][Citation analysis] | paper | 472 |
2003 | Power variation & stochastic volatility: a review and some new results In: Economics Papers. [Full Text][Citation analysis] | paper | 3 |
2003 | Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 340 |
2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 340 | article | |
2004 | Econometrics of testing for jumps in financial economics using bipower variationÂ.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 340 | paper | |
2004 | Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Stochastic volatility with leverage: fast likelihood inference In: Economics Papers. [Full Text][Citation analysis] | paper | 7 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2004 | Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form In: Economics Papers. [Full Text][Citation analysis] | paper | 13 |
2004 | Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form.(2004) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2004 | Likelihood based inference for diffusion driven models In: Economics Papers. [Full Text][Citation analysis] | paper | 4 |
2004 | Likelihood based inference for diffusion driven models.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 19 |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2004 | A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers. [Full Text][Citation analysis] | paper | 59 |
2004 | A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
2004 | A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2004 | A feasible central limit theory for realised volatility under leverage.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2004 | Multipower Variation and Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2004 | Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers. [Full Text][Citation analysis] | paper | 11 |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2005 | Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 137 |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 7 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models.(2009) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models.(2009) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2009 | Income contingent tuition fees for universities In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Income contingent tuition fees for universities.(2009) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2009 | Income contingent tuition fees for universities.(2009) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2010 | Submission to the review on “Higher Education Funding and Student Finance” In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2011 | Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers. [Full Text][Citation analysis] | paper | 80 |
2011 | Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2012 | Multivariate high‐frequency‐based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 80 | article | |
2012 | Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2012 | Efficient and feasible inference for the components of financial variation using blocked multipower variation.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2012 | Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2012 | Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2012 | Robust inference on parameters via particle filters and sandwich covariance matrices In: Economics Papers. [Full Text][Citation analysis] | paper | 5 |
2012 | Robust inference on parameters via particle filters and sandwich covariance matrices.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2012 | Basics of Levy processes In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Basics of Levy processes.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Martingale unobserved component models In: Economics Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Martingale unobserved component models.(2013) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2013 | Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
1998 | Aggregation and Model Construction for Volatility Models In: Economics Papers. [Citation analysis] | paper | 11 |
2000 | Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics. In: Economics Papers. [Citation analysis] | paper | 0 |
1997 | The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
1997 | Filtering via simulation: auxiliary particle filters In: Economics Papers. [Full Text][Citation analysis] | paper | 16 |
1994 | Multivariate Stochastic Variance Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 463 |
2008 | Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 88 |
2008 | Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
2009 | Learning and filtering via simulation: smoothly jittered particle filters In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 7 |
2008 | Likelihood Inference for Exponential-Trawl Processes In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
2016 | Moment conditions and Bayesian nonparametrics In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
2000 | Non-Gaussian OU based models and some of their uses in financial economics In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
2008 | Modelling and measuring volatility In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 2 |
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