Kevin Sheppard : Citation Profile

Are you Kevin Sheppard?

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

10

H index

10

i10 index

1869

Citations

RESEARCH PRODUCTION:

6

Articles

18

Papers

RESEARCH ACTIVITY:

   15 years (2001 - 2016). See details.
   Cites by year: 124
   Journals where Kevin Sheppard has often published
   Relations with other researchers
   Recent citing documents: 142.    Total self citations: 5 (0.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh81
   Updated: 2021-03-01    RAS profile: 2013-01-18    
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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 (87)

Caporin, Massimiliano (79)

Bauwens, Luc (33)

Bollerslev, Tim (24)

Hafner, Christian (22)

Patton, Andrew (22)

Lyócsa, Štefan (21)

Santos, Andre (20)

Asai, Manabu (20)

Christoffersen, Peter (20)

van Dijk, Dick (19)

Cites to:

Bollerslev, Tim (27)

Diebold, Francis (23)

Andersen, Torben (23)

Engle, Robert (21)

Shephard, Neil (18)

Hansen, Peter (10)

White, Halbert (9)

Lunde, Asger (9)

Podolskij, Mark (8)

Giacomini, Raffaella (8)

Mariano, Roberto (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.

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

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

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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.

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2020A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153.

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

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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.

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

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

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

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

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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.

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

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

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

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2020The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications. (2020). Bonga-Bonga, Lumengo ; Morema, Kgotso. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719305999.

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2020How the supply and demand of steam coal affect the investment in clean energy industry? Evidence from China. (2020). Wang, Jiqiang ; Gu, FU ; Fan, Ying ; Guo, Jianfeng. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420719303344.

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2020Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis. (2020). Kumar, Surya Bhushan ; Das, Debojyoti ; Bhatia, Vaneet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320242.

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2020Are ethanol markets globalized or regionalized?. (2020). Kang, Sang Hoon ; Ahmed, Ali ; Dutta, Anupam ; Uddin, Gazi Salah ; Hernandez, Jose Areola. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437119322617.

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2020Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas. (2020). Tiwari, Aviral ; Pradhan, Ashis ; GUPTA, RANGAN ; Çekin, Semih. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:207-217.

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2020Fed’s unconventional monetary policy and risk spillover in the US financial markets. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:42-52.

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2020The hedging effectiveness of global sectors in emerging and developed stock markets. (2020). Zeng, Hongchao ; Wu, Lei ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:92-117.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2020Dynamic linkages between international oil price, plastic stock index and recycle plastic markets in China. (2020). Fan, Ying ; Guo, Jianfeng ; Wang, Jiqiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:167-179.

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2020Co-movement across european stock and real estate markets. (2020). Bouri, Elie ; Al-Fayoumi, Nedal ; Abuzayed, Bana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:189-208.

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2020Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets. (2020). Kang, Sanghoon ; McIver, Ron P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s027553191830789x.

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2020Inter- and intra-regional stock market relations for the GCC bloc. (2020). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310013.

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2021Conditional volatility persistence and volatility spillovers in the foreign exchange market. (2021). Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920301094.

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2021Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management. (2021). Tiwari, Aviral ; Gözgör, Giray ; Hammoudeh, Shawkat ; Gozgor, Giray ; Trabelsi, Nader. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920305560.

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2020Doubts about the Model and Optimal Policy. (2020). Karantounias, Anastasios. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:88478.

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2020Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. (2020). Yang, Lu ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3700-:d:386267.

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2020The Impacts of International Political and Economic Events on Japanese Financial Markets. (2020). Sultonov, Mirzosaid. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:3:p:43-:d:382078.

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2020Analytical Gradients of Dynamic Conditional Correlation Models. (2020). Caporin, Massimiliano ; Lucchetti, Riccardo ; Palomba, Giulio . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:49-:d:328491.

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2020Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices. (2020). Chevallier, Julien ; Alqahtani, Abdullah. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:69-:d:344482.

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2020Dynamic Transmissions and Volatility Spillovers between Global Price and U.S. Producer Price in Agricultural Markets. (2020). Tanaka, Tetsuji ; Guo, Jin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:83-:d:349624.

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2020Is Bitcoin Similar to Gold? An Integrated Overview of Empirical Findings. (2020). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:88-:d:352757.

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2020Time-Frequency Based Dynamics of Decoupling or Integration between Islamic and Conventional Equity Markets. (2020). Ashfaq, Saira ; Nayyar, Sadaf ; Mujtaba, Ghulam ; Anas, Muhammad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:156-:d:385921.

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2020Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?. (2020). Allen, David Edmund. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:202-:d:410152.

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2021Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach. (2021). Otranto, Edoardo ; Forgione, Antonio Fabio ; Fallanca, Mariagrazia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:21-:d:475215.

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2020Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana. (2020). Adam, Anokye M ; Mensah, Prince Osei. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:55-:d:365570.

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2020Risk and Policy Uncertainty on Stock–Bond Return Correlations: Evidence from the US Markets. (2020). Chiang, Thomas C. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:58-:d:365898.

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2020Risk Management Opportunities between Socially Responsible Investments and Selected Commodities. (2020). Kuziak, Katarzyna ; Cupriak, Daniel ; Popczyk, Tomasz. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2003-:d:328908.

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2020Volatility Spillovers between Equity and Green Bond Markets. (2020). Park, Jiyeon ; Ryu, Doojin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3722-:d:353863.

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2020Optimism leads to optimality: Ambiguity in network formation *. (2020). Guerdjikova, Ani ; Bayer, Peter. In: Working Papers. RePEc:hal:wpaper:hal-03005107.

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2020Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market. (2020). Alagidede, Imhotep Paul ; Omane-Adjepong, Maurice. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09306-4.

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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]		paper518
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: 518		paper
2009Optimal combinations of realised volatility estimators In: International Journal of Forecasting.
[Full Text][Citation analysis]		article54
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]		paper74
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: 74		paper
2011Ambiguity and the historical equity premium.(2011) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 74		paper
2010Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article176
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: 176		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: 176		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: 176		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]		paper113
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		paper
2012Multivariate high‐frequency‐based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 113		article
2012Multivariate Rotated ARCH Models In: Economics Papers.
[Full Text][Citation analysis]		paper33
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
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article767
2008Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper93
2008Evaluating Volatility and Correlation Forecasts In: OFRC Working Papers Series.
[Full Text][Citation analysis]		paper9

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