34
H index
66
i10 index
10159
Citations
Harvard University | 34 H index 66 i10 index 10159 Citations RESEARCH PRODUCTION: 54 Articles 135 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 |
Papers / arXiv.org | 2 |
Year | Title of citing document | |
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2021 | Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08. Full description at Econpapers || Download paper | |
2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2021 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2021-12. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | Continuous Record Asymptotics for Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881. Full description at Econpapers || Download paper | |
2021 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2022 | Estimation 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 | |
2021 | 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 | |
2022 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
2022 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2022 | Synthetic 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 | |
2021 | Bayesian 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 | |
2021 | Modeling 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 | |
2021 | Stochastic 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 | |
2021 | Risk 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 | |
2021 | Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968. Full description at Econpapers || Download paper | |
2021 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2022 | Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865. Full description at Econpapers || Download paper | |
2021 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2021 | First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167. Full description at Econpapers || Download paper | |
2022 | Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837. Full description at Econpapers || Download paper | |
2021 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper | |
2021 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2021 | Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2021 | Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939. Full description at Econpapers || Download paper | |
2021 | Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909. Full description at Econpapers || Download paper | |
2022 | Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131. Full description at Econpapers || Download paper | |
2021 | Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473. Full description at Econpapers || Download paper | |
2021 | Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251. Full description at Econpapers || Download paper | |
2022 | Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (2021). Sengupta, Indranil ; Hui, Xianfei ; Sun, Baiqing ; Jiang, Hui. In: Papers. RePEc:arx:papers:2101.08984. Full description at Econpapers || Download paper | |
2021 | A state space approach to fitting higher order moments of empirical financial series with GARCH model parameters. (2021). Savel, Sergey ; de Clerk, Luke. In: Papers. RePEc:arx:papers:2102.11627. Full description at Econpapers || Download paper | |
2021 | Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112. Full description at Econpapers || Download paper | |
2021 | Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2021 | High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237. Full description at Econpapers || Download paper | |
2021 | Tail forecasts of inflation using time-varying parameter quantile regressions. (2021). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2103.03632. Full description at Econpapers || Download paper | |
2021 | Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252. Full description at Econpapers || Download paper | |
2021 | Market Regime Detection via Realized Covariances: A Comparison between Unsupervised Learning and Nonlinear Models. (2021). Bucci, Andrea ; Ciciretti, Vito. In: Papers. RePEc:arx:papers:2104.03667. Full description at Econpapers || Download paper | |
2021 | Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting. (2021). Benhamou, Eric ; Chareyron, Franccois ; Wong, Sui Kai ; Tabachnik, Serge ; Saltiel, David. In: Papers. RePEc:arx:papers:2104.10483. Full description at Econpapers || Download paper | |
2021 | On the joint volatility dynamics in dairy markets. (2021). Rezitis, Anthony ; Kastner, Gregor. In: Papers. RePEc:arx:papers:2104.12707. Full description at Econpapers || Download paper | |
2021 | Algorithm is Experiment: Machine Learning, Market Design, and Policy Eligibility Rules. (2021). Narita, Yusuke ; Yata, Kohei. In: Papers. RePEc:arx:papers:2104.12909. Full description at Econpapers || Download paper | |
2021 | FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190. Full description at Econpapers || Download paper | |
2021 | Optimal Execution with Quadratic Variation Inventories. (2021). Carmona, Rene ; Leal, Laura. In: Papers. RePEc:arx:papers:2104.14615. Full description at Econpapers || Download paper | |
2021 | Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325. Full description at Econpapers || Download paper | |
2021 | Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071. Full description at Econpapers || Download paper | |
2021 | Generalized Autoregressive Moving Average Models with GARCH Errors. (2021). Zheng, Tingguo ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2105.05532. Full description at Econpapers || Download paper | |
2021 | Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182. Full description at Econpapers || Download paper | |
2022 | Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262. Full description at Econpapers || Download paper | |
2022 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674. Full description at Econpapers || Download paper | |
2021 | Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923. Full description at Econpapers || Download paper | |
2021 | Economic Recession Prediction Using Deep Neural Network. (2021). Liu, Hongfu ; Xia, Steve Q ; Wang, Zihao. In: Papers. RePEc:arx:papers:2107.10980. Full description at Econpapers || Download paper | |
2021 | A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks. (2021). Sengupta, Indranil ; Patnaik, Sohan ; Jiruwala, Nuruddin ; Ekapure, Shubham. In: Papers. RePEc:arx:papers:2107.14695. Full description at Econpapers || Download paper | |
2022 | Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151. Full description at Econpapers || Download paper | |
2022 | Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. (2021). Yu, Xun ; Jia, Yanwei. In: Papers. RePEc:arx:papers:2108.06655. Full description at Econpapers || Download paper | |
2021 | Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044. Full description at Econpapers || Download paper | |
2021 | Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039. Full description at Econpapers || Download paper | |
2021 | Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267. Full description at Econpapers || Download paper | |
2021 | Large Order-Invariant Bayesian VARs with Stochastic Volatility. (2021). Yu, Xuewen ; Chan, Joshua ; Koop, Gary. In: Papers. RePEc:arx:papers:2111.07225. Full description at Econpapers || Download paper | |
2021 | Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655. Full description at Econpapers || Download paper | |
2021 | Is Bitcoin really a currency? A viewpoint of a stochastic volatility model. (2021). Kakamu, Kazuhiko ; Kunimoto, Noriyuki. In: Papers. RePEc:arx:papers:2111.15351. Full description at Econpapers || Download paper | |
2021 | Theoretical Economics and the Second-Order Economic Theory. What is it?. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2112.04566. Full description at Econpapers || Download paper | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2021 | Multivariate Realized Volatility Forecasting with Graph Neural Network. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2112.09015. Full description at Econpapers || Download paper | |
2021 | Bayesian Approaches to Shrinkage and Sparse Estimation. (2021). Korobilis, Dimitris ; Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2112.11751. Full description at Econpapers || Download paper | |
2022 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529. Full description at Econpapers || Download paper | |
2022 | Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378. Full description at Econpapers || Download paper | |
2022 | Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457. Full description at Econpapers || Download paper | |
2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
2022 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2022 | From Rough to Multifractal volatility: the log S-fBM model. (2022). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Wu, Peng. In: Papers. RePEc:arx:papers:2201.09516. Full description at Econpapers || Download paper | |
2022 | Efficient Volatility Estimation for L\evy Processes with Jumps of Unbounded Variation. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2202.00877. Full description at Econpapers || Download paper | |
2022 | First-order integer-valued autoregressive processes with Generalized Katz innovations. (2022). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029. Full description at Econpapers || Download paper | |
2022 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323. Full description at Econpapers || Download paper | |
2022 | From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. (2022). Mariotti, Tommaso ; Toscano, Giacomo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2202.12137. Full description at Econpapers || Download paper | |
2022 | Dynamic Spatiotemporal ARCH Models. (2022). Otto, Philipp ; Tacspinar, Suleyman ; Dougan, Osman. In: Papers. RePEc:arx:papers:2202.13856. Full description at Econpapers || Download paper | |
2022 | Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537. Full description at Econpapers || Download paper | |
2022 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
2022 | Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891. Full description at Econpapers || Download paper | |
2022 | Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506. Full description at Econpapers || Download paper | |
2022 | Modeling dynamic volatility under uncertain environment with fuzziness and randomness. (2022). Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.12657. Full description at Econpapers || Download paper | |
2022 | High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933. Full description at Econpapers || Download paper | |
2022 | HARNet: A Convolutional Neural Network for Realized Volatility Forecasting. (2022). Hautsch, Nikolaus ; Bayer, Xandro ; Reisenhofer, Rafael. In: Papers. RePEc:arx:papers:2205.07719. Full description at Econpapers || Download paper | |
2022 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2022 | Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902. Full description at Econpapers || Download paper | |
2022 | Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374. Full description at Econpapers || Download paper | |
2022 | Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen. In: Papers. RePEc:arx:papers:2206.08438. Full description at Econpapers || Download paper | |
2022 | Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948. Full description at Econpapers || Download paper | |
2022 | Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988. Full description at Econpapers || Download paper | |
2022 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
2022 | Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255. Full description at Econpapers || Download paper | |
2022 | Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks. (2022). Moln, G'Abor ; Csabai, Istv'an ; Kuns, S'Andor. In: Papers. RePEc:arx:papers:2208.14038. Full description at Econpapers || Download paper | |
2022 | Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967. Full description at Econpapers || Download paper | |
2022 | Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2209.10128. Full description at Econpapers || Download paper | |
2022 | Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970. 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 | 34 |
2008 | Measuring downside risk-realised semivariance.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2008 | Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | 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 | 263 |
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: 263 | 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: 263 | 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: 263 | 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: 263 | 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. [Citation analysis] This paper has another version. Agregated cites: 263 | 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: 263 | paper | |
2010 | Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
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2009 | Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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: 6 | article | |
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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 | |
2019 | A 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] | article | 8 |
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 | 502 |
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 | 1041 |
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: 1041 | 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: 1041 | paper | |
2019 | Moment conditions and Bayesian non?parametrics In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 7 |
2016 | Moment conditions and Bayesian nonparametrics.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | 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 | 47 |
1999 | Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
1996 | Analytic 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: 11 | paper | |
2003 | Likelihood analysis of a first?order autoregressive model with exponential innovations In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 10 |
2008 | The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 31 |
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: 31 | paper | |
2019 | Is 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] | article | 2 |
2003 | Integrated OU Processes and Non?Gaussian OU?based Stochastic Volatility Models In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 38 |
2014 | Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 6 |
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 | 4 |
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 | 25 |
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 |
2002 | Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers. [Full Text][Citation analysis] | paper | 60 |
2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | article | |
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: 60 | 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: 60 | 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: 60 | 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: 60 | paper | |
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 | 76 |
2005 | Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | 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: 76 | paper | |
2011 | BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 72 |
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: 72 | paper | |
1991 | From Characteristic Function to Distribution Function: A Simple Framework for the Theory In: Econometric Theory. [Full Text][Citation analysis] | article | 37 |
1993 | Distribution of the ML Estimator of an MA(1) and a local level model In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
2001 | Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica. [Citation analysis] | article | 165 |
1998 | Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers. [Citation analysis] This paper has another version. Agregated cites: 165 | 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: 165 | paper | |
2004 | Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica. [Full Text][Citation analysis] | article | 318 |
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 | 677 |
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: 677 | 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: 677 | 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 | 12 |
2009 | Realized kernels in practice: trades and quotes In: Econometrics Journal. [Full Text][Citation analysis] | article | 283 |
1998 | Simulation-based likelihood inference for limited dependent processes In: Econometrics Journal. [Citation analysis] | article | 10 |
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 | 252 |
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: 252 | paper | |
2002 | Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 247 |
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 | 28 |
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: 28 | paper | |
2006 | Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 142 |
2007 | Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 236 |
2009 | Testing the assumptions behind importance sampling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
2011 | Realized Volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 33 |
2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 42 |
2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2006 | Subsampling realised kernels.(2006) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2014 | Multivariate rotated ARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 38 |
2012 | Multivariate Rotated ARCH Models.(2012) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2012 | Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | 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 | 4 |
1994 | Local scale models : State space alternative to integrated GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
1997 | Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
2006 | Limit theorems for multipower variation in the presence of jumps In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 97 |
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: 97 | 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: 97 | 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 | 5 |
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 | 20 |
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: 20 | paper | |
2002 | Estimating quadratic variation using realized variance In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 248 |
2010 | Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 219 |
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: 219 | paper | |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Series Working Papers. [Citation analysis] This paper has another version. Agregated cites: 219 | 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: 219 | paper | |
1993 | Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 31 |
1994 | Stochastic volatility: likelihood inference and comparison with ARCH models In: Economics Papers. [Full Text][Citation analysis] | paper | 1121 |
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: 1121 | 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: 1121 | 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: 1121 | paper | |
1995 | Generalized linear autoregressions In: Economics Papers. [Full Text][Citation analysis] | paper | 18 |
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 | |
2001 | Integrated OU Processes In: Economics Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | Normal modified stable processes In: Economics Papers. [Full Text][Citation analysis] | paper | 40 |
2001 | Normal Modified Stable Processes.(2001) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | 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 | 3 |
2001 | Some recent developments in stochastic volatility modelling In: Economics Papers. [Full Text][Citation analysis] | paper | 35 |
2002 | Some recent developments in stochastic volatility modelling.(2002) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | 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 | 2 |
2002 | Dynamics of trade-by-trade price movements: decomposition and models In: Economics Papers. [Full Text][Citation analysis] | paper | 93 |
2003 | Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.(2003) In: The Journal of Financial Econometrics. [Citation analysis] This paper has another version. Agregated cites: 93 | 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: 93 | paper | |
2002 | Autoregressive conditional root model In: Economics Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers. [Full Text][Citation analysis] | paper | 12 |
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: 12 | paper | |
2002 | Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2002 | Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2002 | Power Variation and Time Change In: Economics Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | Power and bipower variation with stochastic volatility and jumps In: Economics Papers. [Full Text][Citation analysis] | paper | 781 |
2003 | Power variation & stochastic volatility: a review and some new results In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2003 | Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 583 |
2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 583 | 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: 583 | 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 | 8 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2004 | Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form In: Economics Papers. [Full Text][Citation analysis] | paper | 21 |
2006 | Inference 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: 21 | article | |
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: 21 | paper | |
2004 | Likelihood based inference for diffusion driven models In: Economics Papers. [Full Text][Citation analysis] | paper | 9 |
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: 9 | paper | |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 28 |
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: 28 | paper | |
2004 | A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers. [Full Text][Citation analysis] | paper | 60 |
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: 60 | paper | |
2004 | A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers. [Full Text][Citation analysis] | paper | 7 |
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: 7 | paper | |
2004 | Multipower Variation and Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 5 |
2004 | Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers. [Full Text][Citation analysis] | paper | 22 |
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: 22 | 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: 22 | paper | |
2005 | Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 138 |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers. [Full Text][Citation analysis] | paper | 14 |
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: 14 | 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: 14 | 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 | 128 |
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: 128 | paper | |
2012 | Multivariate high?frequency?based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 128 | article | |
2012 | Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 12 |
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: 12 | 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 | 6 |
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: 6 | paper | |
2012 | Basics of Levy processes In: Economics Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Basics of Levy processes.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2013 | Martingale unobserved component models In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2013 | Martingale unobserved component models.(2013) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | 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 | 16 |
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 | 17 |
1994 | Multivariate Stochastic Variance Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 563 |
2008 | Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 155 |
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: 155 | paper | |
2009 | Learning and filtering via simulation: smoothly jittered particle filters In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Likelihood Inference for Exponential-Trawl Processes 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 | 19 |
2012 | Integer-valued L?vy processes and low latency financial econometrics In: Quantitative Finance. [Full Text][Citation analysis] | article | 17 |
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