Kevin Sheppard : Citation Profile

Are you Kevin Sheppard?

Oxford University (50% share)
Oxford University (50% share)

10

H index

10

i10 index

1943

Citations

RESEARCH PRODUCTION:

6

Articles

18

Papers

RESEARCH ACTIVITY:

   15 years (2001 - 2016). See details.
   Cites by year: 129
   Journals where Kevin Sheppard has often published
   Relations with other researchers
   Recent citing documents: 209.    Total self citations: 5 (0.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh81
   Updated: 2021-10-09    RAS profile: 2013-01-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

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

Is cited by:

McAleer, Michael (88)

Caporin, Massimiliano (79)

Bauwens, Luc (34)

Lyócsa, Štefan (25)

Bollerslev, Tim (24)

Hafner, Christian (22)

Patton, Andrew (22)

Asai, Manabu (22)

Baumohl, Eduard (20)

Christoffersen, Peter (20)

Santos, Andre (20)

Cites to:

Bollerslev, Tim (27)

Andersen, Torben (23)

Diebold, Francis (23)

Engle, Robert (21)

Shephard, Neil (18)

Hansen, Peter (10)

White, Halbert (9)

Lunde, Asger (9)

Giacomini, Raffaella (8)

Podolskij, Mark (8)

Christensen, Kim (7)

Main data

Where Kevin Sheppard has published?

Working Papers Series with more than one paper published# docs
Economics Series Working Papers / University of Oxford, Department of Economics6
OFRC Working Papers Series / Oxford Financial Research Centre3

Recent works citing Kevin Sheppard (2021 and 2020)

YearTitle of citing document
2020Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020A 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

2020Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

Full description at Econpapers || Download paper

2020The interdependency structure in the Mexican stock exchange: A network approach. (2020). Aguilar, Erick Trevino . In: Papers. RePEc:arx:papers:2004.06676.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17). (2020). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; DA SILVA, TARCISO GOUVEIA . In: Working Papers Series. RePEc:bcb:wpaper:536.

Full description at Econpapers || Download paper

2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

Full description at Econpapers || Download paper

2020ISLAMIC BANKING, COSTLY RELIGIOSITY, AND COMPETITION. (2020). Ghaffar, Hamza ; Bhatti, Ishaq M ; A. S. M. Sohel Azad, ; Azmat, Saad. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:2:p:263-303.

Full description at Econpapers || Download paper

2020Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments. (2020). Savva, Christos ; Tsouknidis, Dimitris ; Theodossiou, Panayiotis. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1097-1119.

Full description at Econpapers || Download paper

2020Modeling the Variance of Return Intervals Toward Volatility Prediction. (2020). Blackhurst, Isaac ; Loveland, Jennifer ; Lu, Zudi ; Lian, Guanghua ; Sun, Yan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:492-519.

Full description at Econpapers || Download paper

2020New empirical evidence on CEEs stock markets integration. (2020). Anton, Sorin ; Booc, Claudiu. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:10:p:2785-2802.

Full description at Econpapers || Download paper

2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

Full description at Econpapers || Download paper

2020Comovement and Instability in Cryptocurrency Markets. (2020). De Pace, Pierangelo ; Rao, Jayant ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1012.

Full description at Econpapers || Download paper

2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202007.

Full description at Econpapers || Download paper

2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2020034.

Full description at Econpapers || Download paper

2020Price and Volatility Spillovers between Crude Oil and Natural Gas markets in Europe and Japan-Korea. (2020). Dagoumas, Athanasios ; Perifanis, Theodosios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-50.

Full description at Econpapers || Download paper

2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

Full description at Econpapers || Download paper

2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

Full description at Econpapers || Download paper

2021Volatility connectedness of major cryptocurrencies: The role of investor happiness. (2021). GUPTA, RANGAN ; Gabauer, David ; Tiwari, Aviral Kumar ; Bouri, Elie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000071.

Full description at Econpapers || Download paper

2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

Full description at Econpapers || Download paper

2020The time-varying diversifiability of corporate foreign exchange exposure. (2020). Krapl, Alain A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119918300038.

Full description at Econpapers || Download paper

2021A Bayesian semiparametric vector Multiplicative Error Model. (2021). Mira, Antonietta ; Peluso, Stefano ; Donelli, Nicola. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000761.

Full description at Econpapers || Download paper

2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

Full description at Econpapers || Download paper

2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

Full description at Econpapers || Download paper

2021Does economic integration lead to financial market integration in the Asian region?. (2021). Paramati, Sudharshan Reddy ; Zakari, Abdulrasheed ; Huang, Ruixian ; Song, Yuegang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:366-377.

Full description at Econpapers || Download paper

2020Diversification and optimal hedges for socially responsible investment in Brazil. (2020). Penabad, Maria-Celia ; Lopez-Andion, Carmen ; Iglesias, Ana ; Maside-Sanfiz, Jose Manuel ; Lopez-Penabad, Maria-Celia ; Iglesias-Casal, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:106-118.

Full description at Econpapers || Download paper

2020Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. (2020). Charfeddine, Lanouar ; Maouchi, Youcef ; Benlagha, Noureddine. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:198-217.

Full description at Econpapers || Download paper

2020Volatility transmission to the fine wine market. (2020). ben Ameur, Hachmi ; le Fur, Eric ; Lefur, Eric . In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:307-316.

Full description at Econpapers || Download paper

2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

Full description at Econpapers || Download paper

2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

Full description at Econpapers || Download paper

2020Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. (2020). Krištoufek, Ladislav ; Roubaud, David ; Bouri, Elie ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:212-224.

Full description at Econpapers || Download paper

2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

Full description at Econpapers || Download paper

2020Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches. (2020). Lakhal, Faten ; Zorgati, Imen. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:162-169.

Full description at Econpapers || Download paper

2020Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

Full description at Econpapers || Download paper

2021Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective. (2021). Mu, Jinqi ; Wang, Jieru ; Lie, Jiayi ; Jiang, Yonghong. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:21-34.

Full description at Econpapers || Download paper

2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

Full description at Econpapers || Download paper

2020Unconventional monetary policy and financialization of commodities. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304844.

Full description at Econpapers || Download paper

2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

Full description at Econpapers || Download paper

2020Bank systemic risk and CEO overconfidence. (2020). Zhao, Yang ; Lin, James Juichia ; Lee, Jin-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830487x.

Full description at Econpapers || Download paper

2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

Full description at Econpapers || Download paper

2020Does Bitcoin add value to global industry portfolios?. (2020). Elsayed, Ahmed H ; Damianov, Damian S. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304768.

Full description at Econpapers || Download paper

2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

Full description at Econpapers || Download paper

2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

Full description at Econpapers || Download paper

2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

Full description at Econpapers || Download paper

2020Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

Full description at Econpapers || Download paper

2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

Full description at Econpapers || Download paper

2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

Full description at Econpapers || Download paper

2021Volatility analysis with realized GARCH-Itô models. (2021). Wang, Yazhen ; Zhou, Yong ; Lu, Zhiping ; Cui, Xiangyu ; Yuan, Huiling ; Kim, Donggyu ; Song, Xinyu. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

Full description at Econpapers || Download paper

2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

Full description at Econpapers || Download paper

2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

Full description at Econpapers || Download paper

2021A Note on Adaptive Group Lasso for Structural Break Time Series. (2021). Schweikert, Karsten ; Behrendt, Simon. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:156-172.

Full description at Econpapers || Download paper

2021Time-consistency of optimal investment under smooth ambiguity. (2021). Mahayni, Antje ; Balter, Anne G ; Schweizer, Nikolaus. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:643-657.

Full description at Econpapers || Download paper

2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

Full description at Econpapers || Download paper

2020Time varying integration of European stock markets and monetary drivers. (2020). Kim, Heeho ; Lee, Hyunchul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:369-385.

Full description at Econpapers || Download paper

2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

Full description at Econpapers || Download paper

2020U.S. equity and commodity futures markets: Hedging or financialization?. (2020). Sousa, Ricardo ; Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304578.

Full description at Econpapers || Download paper

2021Empirical analysis of the dynamic dependence between WTI oil and Chinese energy stocks. (2021). Li, Ping. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319300428.

Full description at Econpapers || Download paper

2021The role of oil as a determinant of stock market interdependence: The case of the USA and GCC. (2021). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000074.

Full description at Econpapers || Download paper

2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

Full description at Econpapers || Download paper

2020Machine learning as an early warning system to predict financial crisis. (2020). Kampouris, Elias ; Samitas, Aristeidis ; Kenourgios, Dimitris. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301514.

Full description at Econpapers || Download paper

2020Does Bitcoin still own the dominant power? An intraday analysis. (2020). Ngene, Geoffrey M ; Wang, Jinghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301952.

Full description at Econpapers || Download paper

2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

Full description at Econpapers || Download paper

2021Connectedness structures of sovereign bond markets in Central and Eastern Europe. (2021). Karkowska, Renata ; Urjasz, Szczepan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302866.

Full description at Econpapers || Download paper

2021Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks. (2021). Junttila, Juha ; Raatikainen, Juhani ; Perttunen, Jukka. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000673.

Full description at Econpapers || Download paper

2021Asymmetric volatility spillover among Chinese sectors during COVID-19. (2021). Bouri, Elie ; Peng, Zhe ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s105752192100096x.

Full description at Econpapers || Download paper

2020Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects. (2020). Gokmenoglu, Korhan ; al Al, Abobaker. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318307323.

Full description at Econpapers || Download paper

2020Realized GARCH models: Simpler is better. (2020). Yu, Chengtan ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318308365.

Full description at Econpapers || Download paper

2020The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?. (2020). Tegtmeier, Lars ; Schroder, Henning ; Drobetz, Wolfgang. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319302971.

Full description at Econpapers || Download paper

2021Dynamic correlations and spillover effects between CoCo bonds and other financial assets: Evidence from European banking. (2021). Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s154461231931030x.

Full description at Econpapers || Download paper

2021Is China a source of financial contagion?. (2021). Abdel-Qader, Waleed ; Akhtaruzzaman, MD ; Shams, Syed ; Hammami, Helmi. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310402.

Full description at Econpapers || Download paper

2021Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets. (2021). Dingec, Kemal Dincer ; Silahli, Baykar ; Aydin, Nezir ; Cifter, Atilla. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312024.

Full description at Econpapers || Download paper

2021FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

Full description at Econpapers || Download paper

2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

Full description at Econpapers || Download paper

2020Macroprudential policy and bank systemic risk. (2020). Vander Vennet, Rudi ; Meuleman, Elien. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300024.

Full description at Econpapers || Download paper

2020Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x.

Full description at Econpapers || Download paper

2020Modelling the dynamics of unconventional monetary policies’ impact on professionals’ forecasts. (2020). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Papadamou, Stephanos ; Zopounidis, Constantin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119304093.

Full description at Econpapers || Download paper

2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

Full description at Econpapers || Download paper

2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

Full description at Econpapers || Download paper

2020Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

Full description at Econpapers || Download paper

2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

Full description at Econpapers || Download paper

2021Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting. (2021). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:622-633.

Full description at Econpapers || Download paper

2021The uncertainty in extreme risk forecasts from covariate-augmented volatility models. (2021). Hoga, Yannick. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:675-686.

Full description at Econpapers || Download paper

2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

Full description at Econpapers || Download paper

2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

Full description at Econpapers || Download paper

2021Dimensionality reduction in forecasting with temporal hierarchies. (2021). Madsen, Henrik ; Moller, Jan K ; Lindstrom, Erik ; Nystrup, Peter. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1127-1146.

Full description at Econpapers || Download paper

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

Works by Kevin Sheppard:

YearTitleTypeCited
2001Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper527
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 527		paper
2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
[Full Text][Citation analysis]		article62
2003An ordering experiment In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article4
2016Ambiguity and the historical equity premium In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper75
2011Ambiguity and the historical equity premium.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]
This paper has another version. Agregated cites: 75		paper
2011Ambiguity and the historical equity premium.(2011) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75		paper
2010Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article192
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: 192		paper
2009Realising 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: 192		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: 192		paper
2004On the Computational Complexity of Consumer Decision Rules In: Computational Economics.
[Full Text][Citation analysis]		article4
2009Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers.
[Full Text][Citation analysis]		paper14
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: 14		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: 14		paper
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers.
[Full Text][Citation analysis]		paper118
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 118		paper
2012Multivariate high‐frequency‐based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 118		article
2012Multivariate Rotated ARCH Models In: Economics Papers.
[Full Text][Citation analysis]		paper35
2012Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers.
[Full Text][Citation analysis]		paper11
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: 11		paper
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article797
2008Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper95
2008Evaluating Volatility and Correlation Forecasts In: OFRC Working Papers Series.
[Full Text][Citation analysis]		paper9

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team