Neil Shephard : Citation Profile


Are you Neil Shephard?

Harvard University

35

H index

70

i10 index

10799

Citations

RESEARCH PRODUCTION:

54

Articles

135

Papers

EDITOR:

6

Books edited

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 359
   Journals where Neil Shephard has often published
   Relations with other researchers
   Recent citing documents: 275.    Total self citations: 96 (0.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh10
   Updated: 2024-01-16    RAS profile: 2019-10-15    
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Relations with other researchers


Works with:

Vignoles, Anna (2)

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

Is cited by:

Bollerslev, Tim (226)

Koopman, Siem Jan (199)

Andersen, Torben (192)

Asai, Manabu (190)

Omori, Yasuhiro (167)

Yu, Jun (134)

Podolskij, Mark (127)

Diebold, Francis (100)

Meddahi, Nour (89)

Patton, Andrew (88)

GUPTA, RANGAN (83)

Cites to:

Bollerslev, Tim (134)

Andersen, Torben (125)

Diebold, Francis (99)

Ghysels, Eric (79)

Harvey, Andrew (76)

Renault, Eric (75)

Engle, Robert (64)

Lunde, Asger (49)

Hansen, Peter (48)

Meddahi, Nour (43)

Gallant, A. (34)

Main data


Where Neil Shephard has published?


Journals with more than one article published# docs
Journal of Econometrics12
Econometrica4
Journal of Business & Economic Statistics4
Econometrics Journal4
Econometric Theory4
Journal of Time Series Analysis3
Journal of Applied Econometrics3
Journal of the Royal Statistical Society Series B3
Scandinavian Journal of Statistics2
Review of Economic Studies2
Quantitative Finance2
The Journal of Financial Econometrics2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
OFRC Working Papers Series / Oxford Financial Research Centre25
Economics Series Working Papers / University of Oxford, Department of Economics19
Working Paper / Harvard University OpenScholar4
IFS Working Papers / Institute for Fiscal Studies2
Papers / arXiv.org2

Recent works citing Neil Shephard (2024 and 2023)


YearTitle of citing document
2023Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2023Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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2023Algorithm is Experiment: Machine Learning, Market Design, and Policy Eligibility Rules. (2021). Narita, Yusuke ; Yata, Kohei. In: Papers. RePEc:arx:papers:2104.12909.

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2023Inference 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.

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2023Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378.

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2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

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2023Extraction 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.

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2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2023Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2023Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948.

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2023Efficient 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.

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2023Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Sequential Bayesian Learning for Hidden Semi-Markov Models. (2023). Kalogeropoulos, Konstantinos ; Aschermayr, Patrick. In: Papers. RePEc:arx:papers:2301.10494.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550.

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2023Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. (2023). Imai, Yuto ; Arai, Takuji. In: Papers. RePEc:arx:papers:2306.05750.

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2023Modeling Large Spot Price Deviations in Electricity Markets. (2023). Desmettre, Sascha ; Aichinger, Florian ; Laudag, Christian. In: Papers. RePEc:arx:papers:2306.07731.

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2023Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2023). Wang, Hanchao ; Linton, Oliver ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2307.01348.

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2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Recurrent Neural Networks with more flexible memory: better predictions than rough volatility. (2023). Ragel, Vincent ; Challet, Damien. In: Papers. RePEc:arx:papers:2308.08550.

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2023Closed-form approximations of moments and densities of continuous-time Markov models. (2023). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Papers. RePEc:arx:papers:2308.09009.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Introducing the $\sigma$-Cell: Unifying GARCH, Stochastic Fluctuations and Evolving Mechanisms in RNN-based Volatility Forecasting. (2023). Antulov-Fantulin, Nino ; Rodikov, German. In: Papers. RePEc:arx:papers:2309.01565.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512.

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2023Probability of Default modelling with L\evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9. (2023). Yannacopoulos, Athanasios N ; Georgiou, Kyriakos. In: Papers. RePEc:arx:papers:2309.12384.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao. In: Papers. RePEc:arx:papers:2310.19992.

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2023Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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2023Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Constructing Efficient Simulated Moments Using Temporal Convolutional Networks. (2023). Creel, Michael ; Chassot, Jonathan. In: Working Papers. RePEc:bge:wpaper:1412.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2023S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387.

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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2023A numerical inversion of the bivariate characteristic function. (2023). Witkovsk, Viktor ; Popovi, Boidar V ; Mijanovi, Andjela. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s009630032200875x.

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2023Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. (2023). Orlando, Giuseppe ; Samimi, Oldouz ; Mehrdoust, Farshid ; Ascione, Giacomo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000206.

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2023Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models. (2023). Yang, Wen-Hsi ; Holan, Scott H ; Sui, Yuelei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:181:y:2023:i:c:s0167947323000014.

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2023Transformations in semi-parametric Bayesian synthetic likelihood. (2023). Drovandi, Christopher ; Priddle, Jacob W. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:187:y:2023:i:c:s0167947323001081.

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2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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2023The financial market effects of unwinding the Federal Reserve’s balance sheet. (2023). Valcarcel, Victor (Vic) ; Smith, Lee A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002858.

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2023Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Zeng, Hongjun ; Xu, Wen ; Lu, Ran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481.

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2023Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2023Great moderation with Chinese characteristics: Uncovering the role of monetary policy. (2023). Liu, Ding ; Sun, Weihong. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000366.

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2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

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2023Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries. (2023). Castillo, Paul ; Vassallo, Renato ; Rodriguez, Gabriel. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001141.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks. (2023). Lin, Sha ; He, Xin-Jiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000414.

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2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

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2023Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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YearTitleTypeCited
2008Measuring downside risk — realised semivariance In: CREATES Research Papers.
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2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
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2008Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series.
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers.
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2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics.
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2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print.
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2009Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 286
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2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series.
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2010Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers.
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2015Continuous time analysis of fleeting discrete price moves In: Papers.
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2009Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper.
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2017Continuous Time Analysis of Fleeting Discrete Price Moves.(2017) In: Journal of the American Statistical Association.
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2020Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function In: Papers.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics.
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2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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2010DEFERRED FEES FOR UNIVERSITIES In: Economic Affairs.
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2010Deferred fees for universities.(2010) In: Economics Papers.
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2019A comparison of sample survey measures of earnings of English graduates with administrative data In: Journal of the Royal Statistical Society Series A.
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2001Non?Gaussian Ornstein–Uhlenbeck?based models and some of their uses in financial economics In: Journal of the Royal Statistical Society Series B.
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2002Econometric analysis of realized volatility and its use in estimating stochastic volatility models In: Journal of the Royal Statistical Society Series B.
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2001Econometric analysis of realised volatility and its use in estimating stochastic volatility models.(2001) In: Economics Papers.
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2001Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.(2001) In: Economics Series Working Papers.
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2019Moment conditions and Bayesian non?parametrics In: Journal of the Royal Statistical Society Series B.
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2016Moment conditions and Bayesian nonparametrics.(2016) In: Working Paper.
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1990ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis.
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1999Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models In: Journal of Time Series Analysis.
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1996Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.(1996) In: Economics Papers.
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2003Likelihood analysis of a first?order autoregressive model with exponential innovations In: Journal of Time Series Analysis.
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2008The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics.
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2008The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers.
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2019Is Improving Access to University Enough? Socio?Economic Gaps in the Earnings of English Graduates In: Oxford Bulletin of Economics and Statistics.
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2003Integrated OU Processes and Non?Gaussian OU?based Stochastic Volatility Models In: Scandinavian Journal of Statistics.
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2014Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics.
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1990A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) In: STICERD - Econometrics Paper Series.
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1992Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series.
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1992Deletion Diagnostics and Transformations for Time Series In: STICERD - Econometrics Paper Series.
[Citation analysis]
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1993Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series.
[Citation analysis]
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2004Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series.
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2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
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2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
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2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
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2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
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2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
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2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
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2005The Autoregressive Conditional Root (ACR) Model In: Working Papers.
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2006LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory.
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2005Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers.
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2005Limit theorems for bipower variation in financial econometrics.(2005) In: OFRC Working Papers Series.
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2011BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS In: Econometric Theory.
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article77
2008Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.(2008) In: OFRC Working Papers Series.
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1991From Characteristic Function to Distribution Function: A Simple Framework for the Theory In: Econometric Theory.
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1993Distribution of the ML Estimator of an MA(1) and a local level model In: Econometric Theory.
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2001Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica.
[Citation analysis]
article168
1998Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers.
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2000Likelihood inference for discretely observed non-linear diffusions.(2000) In: OFRC Working Papers Series.
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2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica.
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2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
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2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
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2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
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2000BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time In: Econometric Society World Congress 2000 Contributed Papers.
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2009Realized kernels in practice: trades and quotes In: Econometrics Journal.
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1998Simulation-based likelihood inference for limited dependent processes In: Econometrics Journal.
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1998Foreword by the Editors In: Econometrics Journal.
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1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
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1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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2002Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics.
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article258
2006Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics.
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article28
2003Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.(2003) In: Economics Papers.
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2006Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics.
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2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
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2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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2011Realized Volatility In: Journal of Econometrics.
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2011Subsampling realised kernels In: Journal of Econometrics.
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2006Subsampling realised kernels.(2006) In: Economics Papers.
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2006Subsampling realised kernels.(2006) In: Economics Series Working Papers.
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2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
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2014Multivariate rotated ARCH models In: Journal of Econometrics.
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article39
2012Multivariate Rotated ARCH Models.(2012) In: Economics Papers.
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2012Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers.
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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
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1994Local scale models : State space alternative to integrated GARCH processes In: Journal of Econometrics.
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article24
1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
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2006Limit theorems for multipower variation in the presence of jumps In: Stochastic Processes and their Applications.
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2005Limit theorems for multipower variation in the presence of jumps.(2005) In: Economics Papers.
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2005Limit theorems for multipower variation in the presence of jumps.(2005) In: OFRC Working Papers Series.
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2015Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession In: IFS Working Papers.
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2016How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background In: IFS Working Papers.
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2016How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background.(2016) In: Working Paper.
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2002Estimating quadratic variation using realized variance In: Journal of Applied Econometrics.
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2010Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics.
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2009Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Papers.
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2009Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Series Working Papers.
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2009Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: OFRC Working Papers Series.
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1993Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models. In: Journal of Applied Econometrics.
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1994Stochastic volatility: likelihood inference and comparison with ARCH models In: Economics Papers.
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1996Stochastic volatility: likelihood inference and comparison with ARCH models..(1996) In: Economics Papers.
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1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.(1998) In: Review of Economic Studies.
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1996STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS.(1996) In: Econometrics.
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1995Generalized linear autoregressions In: Economics Papers.
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1995Likelihood analysis of non-Gaussian parameter driven models In: Economics Papers.
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1995Likelihood Analysis of Non-Gaussian Parameter-Driven Models..(1995) In: Economics Papers.
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2001Integrated OU Processes In: Economics Papers.
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2001Normal modified stable processes In: Economics Papers.
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2001Normal Modified Stable Processes.(2001) In: Economics Series Working Papers.
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2001Higher order variation and stochastic volatility models In: Economics Papers.
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2001How accurate is the asymptotic approximation to the distribution of realised volatility? In: Economics Papers.
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2001Realised power variation and stochastic volatility models In: Economics Papers.
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2001Estimating quadratic variation using realised volatility In: Economics Papers.
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2001Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers.
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2001Some recent developments in stochastic volatility modelling In: Economics Papers.
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2002Some recent developments in stochastic volatility modelling.(2002) In: Quantitative Finance.
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2001Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes In: Economics Papers.
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2002Dynamics of trade-by-trade price movements: decomposition and models In: Economics Papers.
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2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.(2003) In: The Journal of Financial Econometrics.
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2002Dynamics of trade-by-trade price movements: decomposition and models.(2002) In: OFRC Working Papers Series.
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2002Autoregressive conditional root model In: Economics Papers.
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2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers.
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2002Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics.(2002) In: OFRC Working Papers Series.
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2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
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2002Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers.
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2002Power Variation and Time Change In: Economics Papers.
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2003Power and bipower variation with stochastic volatility and jumps In: Economics Papers.
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2003Power variation & stochastic volatility: a review and some new results In: Economics Papers.
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2003Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers.
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2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: The Journal of Financial Econometrics.
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2004Econometrics of testing for jumps in financial economics using bipower variationÂ.(2004) In: OFRC Working Papers Series.
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2004Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers.
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2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
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2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
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2004Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form In: Economics Papers.
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2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.(2006) In: Econometric Reviews.
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2004Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form.(2004) In: Tinbergen Institute Discussion Papers.
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2004Likelihood based inference for diffusion driven models In: Economics Papers.
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2004Likelihood based inference for diffusion driven models.(2004) In: OFRC Working Papers Series.
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2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
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2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
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2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
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2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series.
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2004A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers.
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2004A feasible central limit theory for realised volatility under leverage.(2004) In: OFRC Working Papers Series.
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2004Multipower Variation and Stochastic Volatility In: Economics Papers.
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2004Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series.
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2005Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers.
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2005Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: OFRC Working Papers Series.
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2008Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series.
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2009Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers.
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2009Income contingent tuition fees for universities In: Economics Papers.
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2009Income contingent tuition fees for universities.(2009) In: Economics Series Working Papers.
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2009Income contingent tuition fees for universities.(2009) In: OFRC Working Papers Series.
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2010Submission to the review on “Higher Education Funding and Student Finance” In: Economics Papers.
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2010Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers.
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2010Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers.
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2011Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers.
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2011Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers.
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2012Multivariate high?frequency?based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics.
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2012Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers.
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2012Efficient and feasible inference for the components of financial variation using blocked multipower variation.(2012) In: Economics Series Working Papers.
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2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Papers.
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2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices.(2012) In: Economics Series Working Papers.
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2012Robust inference on parameters via particle filters and sandwich covariance matrices In: Economics Papers.
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2012Robust inference on parameters via particle filters and sandwich covariance matrices.(2012) In: Economics Series Working Papers.
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2012Basics of Levy processes In: Economics Papers.
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2012Basics of Levy processes.(2012) In: Economics Series Working Papers.
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2013Martingale unobserved component models In: Economics Papers.
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2013Martingale unobserved component models.(2013) In: Economics Series Working Papers.
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