Neil Shephard : Citation Profile


Are you Neil Shephard?

Harvard University

30

H index

54

i10 index

7216

Citations

RESEARCH PRODUCTION:

54

Articles

135

Papers

EDITOR:

6

Books edited

RESEARCH ACTIVITY:

   29 years (1990 - 2019). See details.
   Cites by year: 248
   Journals where Neil Shephard has often published
   Relations with other researchers
   Recent citing documents: 617.    Total self citations: 99 (1.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh10
   Updated: 2020-02-08    RAS profile: 2019-10-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Vignoles, Anna (5)

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 (213)

Bollerslev, Tim (190)

Asai, Manabu (166)

Koopman, Siem Jan (154)

Andersen, Torben (143)

Omori, Yasuhiro (137)

Yu, Jun (108)

Podolskij, Mark (88)

Diebold, Francis (84)

Meddahi, Nour (82)

Caporin, Massimiliano (78)

Cites to:

Barndorff-Nielsen, Ole (126)

Bollerslev, Tim (111)

Andersen, Torben (101)

Diebold, Francis (82)

Renault, Eric (77)

Ghysels, Eric (76)

Harvey, Andrew (75)

Engle, Robert (48)

Lunde, Asger (43)

Meddahi, Nour (42)

Hansen, Peter (41)

Main data


Where Neil Shephard has published?


Journals with more than one article published# docs
Journal of Econometrics12
Journal of Business & Economic Statistics4
Econometrica4
Econometrics Journal4
Econometric Theory4
Journal of Applied Econometrics3
Journal of the Royal Statistical Society Series B3
Journal of Time Series Analysis3
Quantitative Finance2
Scandinavian Journal of Statistics2
Review of Economic Studies2
Journal of Financial Econometrics2
Oxford Bulletin of Economics and 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
IFS Working Papers / Institute for Fiscal Studies2
Papers / arXiv.org2

Recent works citing Neil Shephard (2019 and 2018)


YearTitle of citing document
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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Cross-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

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

Full description at Econpapers || Download paper

2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

Full description at Econpapers || Download paper

2019Dynamic models used in analysis capital and population. (2019). Popovici, Marius ; Dumbrav, Gabriel-Tefan ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela . In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:149-162.

Full description at Econpapers || Download paper

2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Semiparametric 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

2019Predictable 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

2018Efficient 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

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

Full description at Econpapers || Download paper

2018Dynamic 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Large-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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Tests 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1810.04725.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

Full description at Econpapers || Download paper

2018Limits 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1901.11491.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Synthetic learner: model-free inference on treatments over time. (2019). Bradic, Jelena ; Viviano, Davide. In: Papers. RePEc:arx:papers:1904.01490.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

Full description at Econpapers || Download paper

2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

Full description at Econpapers || Download paper

2019Infinitesimal generators for two-dimensional L\evy process-driven hypothesis testing. (2019). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:1911.08412.

Full description at Econpapers || Download paper

2019A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior. (2019). Ankargren, Sebastian ; Yang, Yukai ; Unosson, Maans. In: Papers. RePEc:arx:papers:1911.09151.

Full description at Econpapers || Download paper

2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

Full description at Econpapers || Download paper

2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan. In: Papers. RePEc:arx:papers:1912.06709.

Full description at Econpapers || Download paper

2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

Full description at Econpapers || Download paper

2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

Full description at Econpapers || Download paper

2019The interplay between oil and food commodity prices: Has It changed over time?. (2019). Rüth, Sebastian ; Peersman, Gert ; van der Veken, Wouter ; Ruth, Sebastian K. In: Working Papers. RePEc:awi:wpaper:0665.

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

Full description at Econpapers || Download paper

2018State 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Are 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

2018DOES 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

2018Home 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

2017Portfolio 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

2018WILL 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

2017Special 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

2019Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276.

Full description at Econpapers || Download paper

2018Dutch Disease Dynamics Reconsidered. (2018). Torvik, Ragnar ; Thorsrud, Leif ; Bjørnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0062.

Full description at Econpapers || Download paper

2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

Full description at Econpapers || Download paper

2018A composite likelihood approach for dynamic structural models. (2018). Matthes, Christian ; Canova, Fabio. In: Working Papers. RePEc:bny:wpaper:0068.

Full description at Econpapers || Download paper

2018On the China factor in international oil markets: A regime switching approach. (2018). Cross, Jamie ; Nguyen, Bao H ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0069.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper14
2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2008Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
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.
[Full Text][Citation analysis]
paper191
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 191
article
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: 191
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: 191
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: 191
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: 191
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2015Continuous time analysis of fleeting discrete price moves In: Papers.
[Full Text][Citation analysis]
paper3
2017Continuous 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: 3
article
2009Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2019A Nonparametric Dynamic Causal Model for Macroeconometrics In: Papers.
[Full Text][Citation analysis]
paper1
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article3
1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]
article177
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2010DEFERRED FEES FOR UNIVERSITIES In: Economic Affairs.
[Full Text][Citation analysis]
article0
2010Deferred fees for universities.(2010) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2019A comparison of sample survey measures of earnings of English graduates with administrative data In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article1
2001Non‐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]
article415
2002Econometric 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]
article729
2001Econometric 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: 729
paper
2001Econometric 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: 729
paper
2019Moment conditions and Bayesian non‐parametrics In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article0
2016Moment conditions and Bayesian nonparametrics.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
1999Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
1996Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.(1996) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2003Likelihood analysis of a first-order autoregressive model with exponential innovations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article9
2008The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article22
2008The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2019Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article1
2003Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article23
2014Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article3
1990A 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]
paper0
1992Exact 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]
paper5
1992Deletion Diagnostics and Transformations for Time Series In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1993Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper16
2004Stochastic 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]
paper0
2005The Autoregressive Conditional Root (ACR) Model In: Working Papers.
[Full Text][Citation analysis]
paper4
2006LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory.
[Full Text][Citation analysis]
article66
2005Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66
paper
2005Limit theorems for bipower variation in financial econometrics.(2005) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66
paper
2011BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article51
2008Bayesian 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: 51
paper
1991From Characteristic Function to Distribution Function: A Simple Framework for the Theory In: Econometric Theory.
[Full Text][Citation analysis]
article15
1993Distribution of the ML Estimator of an MA(1) and a local level model In: Econometric Theory.
[Full Text][Citation analysis]
article11
2001Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica.
[Citation analysis]
article152
1998Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers.
[Citation analysis]
This paper has another version. Agregated cites: 152
paper
2000Likelihood inference for discretely observed non-linear diffusions.(2000) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152
paper
2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica.
[Full Text][Citation analysis]
article202
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica.
[Full Text][Citation analysis]
article50
2003Likelihood-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: 50
paper
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
[Full Text][Citation analysis]
article401
2006Designing 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: 401
paper
2006Designing 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: 401
paper
2000BIN 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]
paper3
2009Realized kernels in practice: trades and quotes In: Econometrics Journal.
[Full Text][Citation analysis]
article179
1998Simulation-based likelihood inference for limited dependent processes In: Econometrics Journal.
[Citation analysis]
article9
1998Foreword by the Editors In: Econometrics Journal.
[Citation analysis]
article0
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]
article190
1998Statistical 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: 190
paper
2002Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]
article195
2006Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article24
2003Impact 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
2006Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]
article102
2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
[Full Text][Citation analysis]
article149
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]
article28
2011Realized Volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article31
2011Subsampling realised kernels In: Journal of Econometrics.
[Full Text][Citation analysis]
article35
2006Subsampling realised kernels.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2006Subsampling realised kernels.(2006) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2014Multivariate rotated ARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article26
2012Multivariate Rotated ARCH Models.(2012) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2012Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
1994Local scale models : State space alternative to integrated GARCH processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article20
1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article20
2006Limit theorems for multipower variation in the presence of jumps In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article52
2005Limit theorems for multipower variation in the presence of jumps.(2005) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2005Limit 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: 52
paper
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: Post-Print.
[Full Text][Citation analysis]
paper143
2015Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession In: IFS Working Papers.
[Full Text][Citation analysis]
paper3
2016How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background In: IFS Working Papers.
[Full Text][Citation analysis]
paper6
2016How 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: 6
paper
2002Estimating quadratic variation using realized variance In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article186
2010Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article154
2009Realising 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: 154
paper
2009Realising 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: 154
paper
2009Realising 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: 154
paper
1993Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article21
1994Stochastic volatility: likelihood inference and comparison with ARCH models In: Economics Papers.
[Full Text][Citation analysis]
paper763
1996Stochastic volatility: likelihood inference and comparison with ARCH models..(1996) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 763
paper
1998Stochastic 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: 763
article
1996STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS.(1996) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 763
paper
1995Generalized linear autoregressions In: Economics Papers.
[Full Text][Citation analysis]
paper9
1995Likelihood analysis of non-Gaussian parameter driven models In: Economics Papers.
[Full Text][Citation analysis]
paper15
1995Likelihood Analysis of Non-Gaussian Parameter-Driven Models..(1995) In: Economics Papers.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
2001Integrated OU Processes In: Economics Papers.
[Full Text][Citation analysis]
paper1
2001Normal modified stable processes In: Economics Papers.
[Full Text][Citation analysis]
paper21
2001Normal Modified Stable Processes.(2001) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2001Higher order variation and stochastic volatility models In: Economics Papers.
[Full Text][Citation analysis]
paper0
2001How accurate is the asymptotic approximation to the distribution of realised volatility? In: Economics Papers.
[Full Text][Citation analysis]
paper17
2001Realised power variation and stochastic volatility models In: Economics Papers.
[Full Text][Citation analysis]
paper11
2001Estimating quadratic variation using realised volatility In: Economics Papers.
[Full Text][Citation analysis]
paper3
2001Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers.
[Full Text][Citation analysis]
paper4
2001Some recent developments in stochastic volatility modelling In: Economics Papers.
[Full Text][Citation analysis]
paper29
2002Some recent developments in stochastic volatility modelling.(2002) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
article
2001Comment 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]
paper1
2002Dynamics of trade-by-trade price movements: decomposition and models In: Economics Papers.
[Full Text][Citation analysis]
paper79
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 79
article
2002Dynamics 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: 79
paper
2002Autoregressive conditional root model In: Economics Papers.
[Full Text][Citation analysis]
paper9
2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers.
[Full Text][Citation analysis]
paper5
2002Econometric 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
2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
[Full Text][Citation analysis]
paper6
2002Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers.
[Full Text][Citation analysis]
paper6
2002Power Variation and Time Change In: Economics Papers.
[Full Text][Citation analysis]
paper1
2003Power and bipower variation with stochastic volatility and jumps In: Economics Papers.
[Full Text][Citation analysis]
paper533
2003Power variation & stochastic volatility: a review and some new results In: Economics Papers.
[Full Text][Citation analysis]
paper3
2003Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers.
[Full Text][Citation analysis]
paper380
2006Econometrics 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: 380
article
2004Econometrics 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: 380
paper
2004Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers.
[Full Text][Citation analysis]
paper0
2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
[Full Text][Citation analysis]
paper7
2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2004Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form In: Economics Papers.
[Full Text][Citation analysis]
paper13
2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.(2006) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2004Inference 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
2004Likelihood based inference for diffusion driven models In: Economics Papers.
[Full Text][Citation analysis]
paper4
2004Likelihood 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
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
[Full Text][Citation analysis]
paper20
2004Regular 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: 20
paper
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
[Full Text][Citation analysis]
paper59
2004A 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
2004A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers.
[Full Text][Citation analysis]
paper6
2004A 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
2004Multipower Variation and Stochastic Volatility In: Economics Papers.
[Full Text][Citation analysis]
paper5
2004Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2005Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers.
[Full Text][Citation analysis]
paper11
2005Variation, 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
2005Variation, 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
2005Stochastic Volatility In: Economics Papers.
[Full Text][Citation analysis]
paper138
2008Stochastic Volatility: Origins and Overview In: Economics Papers.
[Full Text][Citation analysis]
paper8
2008Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2008Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2009Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers.
[Full Text][Citation analysis]
paper13
2009Nuisance 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: 13
paper
2009Nuisance 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: 13
paper
2009Income contingent tuition fees for universities In: Economics Papers.
[Full Text][Citation analysis]
paper0
2009Income contingent tuition fees for universities.(2009) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009Income contingent tuition fees for universities.(2009) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Submission to the review on “Higher Education Funding and Student Finance” In: Economics Papers.
[Full Text][Citation analysis]
paper0
2010Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers.
[Full Text][Citation analysis]
paper0
2010Discrete-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
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers.
[Full Text][Citation analysis]
paper92
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
paper
2012Multivariate high‐frequency‐based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 92
article
2012Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers.
[Full Text][Citation analysis]
paper10
2012Efficient 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
2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Papers.
[Full Text][Citation analysis]
paper6
2012Econometric 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
2012Robust inference on parameters via particle filters and sandwich covariance matrices In: Economics Papers.
[Full Text][Citation analysis]
paper5
2012Robust 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
2012Basics of Levy processes In: Economics Papers.
[Full Text][Citation analysis]
paper2
2012Basics of Levy processes.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2013Martingale unobserved component models In: Economics Papers.
[Full Text][Citation analysis]
paper3
2013Martingale unobserved component models.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2013Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality In: Economics Papers.
[Full Text][Citation analysis]
paper0
1998Aggregation and Model Construction for Volatility Models In: Economics Papers.
[Citation analysis]
paper12
2000Non-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]
paper0
1997The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model In: Economics Papers.
[Full Text][Citation analysis]
paper1
1997Filtering via simulation: auxiliary particle filters In: Economics Papers.
[Full Text][Citation analysis]
paper16
1994Multivariate Stochastic Variance Models In: Review of Economic Studies.
[Full Text][Citation analysis]
article477
2008Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers.
[Full Text][Citation analysis]
paper89
2008Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2009Learning and filtering via simulation: smoothly jittered particle filters In: Economics Series Working Papers.
[Full Text][Citation analysis]
paper7
2008Likelihood Inference for Exponential-Trawl Processes In: Working Paper.
[Full Text][Citation analysis]
paper0
2000Non-Gaussian OU based models and some of their uses in financial economics In: OFRC Working Papers Series.
[Full Text][Citation analysis]
paper9
2008Modelling and measuring volatility In: OFRC Working Papers Series.
[Full Text][Citation analysis]
paper0
2016Econometric 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]
article7

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team