35
H index
70
i10 index
10799
Citations
Harvard University | 35 H index 70 i10 index 10799 Citations RESEARCH PRODUCTION: 54 Articles 135 Papers EDITOR: Books edited RESEARCH ACTIVITY: 30 years (1990 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psh10 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Neil Shephard. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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OFRC Working Papers Series / Oxford Financial Research Centre | 25 |
Economics Series Working Papers / University of Oxford, Department of Economics | 19 |
Working Paper / Harvard University OpenScholar | 4 |
IFS Working Papers / Institute for Fiscal Studies | 2 |
Papers / arXiv.org | 2 |
Year | Title of citing document | |
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2023 | Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078. Full description at Econpapers || Download paper | |
2023 | Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595. Full description at Econpapers || Download paper | |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2023 | Dynamic 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. Full description at Econpapers || Download paper | |
2023 | Algorithm is Experiment: Machine Learning, Market Design, and Policy Eligibility Rules. (2021). Narita, Yusuke ; Yata, Kohei. In: Papers. RePEc:arx:papers:2104.12909. Full description at Econpapers || Download paper | |
2023 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674. Full description at Econpapers || Download paper | |
2023 | Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378. Full description at Econpapers || Download paper | |
2023 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
2023 | Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891. Full description at Econpapers || Download paper | |
2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2023 | Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902. Full description at Econpapers || Download paper | |
2023 | Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948. Full description at Econpapers || Download paper | |
2023 | Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2209.10128. Full description at Econpapers || Download paper | |
2023 | Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970. Full description at Econpapers || Download paper | |
2023 | Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010. Full description at Econpapers || Download paper | |
2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2023 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
2023 | Bayesian 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. Full description at Econpapers || Download paper | |
2023 | Sequential Bayesian Learning for Hidden Semi-Markov Models. (2023). Kalogeropoulos, Konstantinos ; Aschermayr, Patrick. In: Papers. RePEc:arx:papers:2301.10494. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | Deep 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. Full description at Econpapers || Download paper | |
2023 | High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550. Full description at Econpapers || Download paper | |
2023 | Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Sequential 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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. (2023). Imai, Yuto ; Arai, Takuji. In: Papers. RePEc:arx:papers:2306.05750. Full description at Econpapers || Download paper | |
2023 | Modeling Large Spot Price Deviations in Electricity Markets. (2023). Desmettre, Sascha ; Aichinger, Florian ; Laudag, Christian. In: Papers. RePEc:arx:papers:2306.07731. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | Nonparametric 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. Full description at Econpapers || Download paper | |
2023 | Fast 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. Full description at Econpapers || Download paper | |
2023 | Graph 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. Full description at Econpapers || Download paper | |
2023 | Recurrent Neural Networks with more flexible memory: better predictions than rough volatility. (2023). Ragel, Vincent ; Challet, Damien. In: Papers. RePEc:arx:papers:2308.08550. Full description at Econpapers || Download paper | |
2023 | Closed-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. Full description at Econpapers || Download paper | |
2023 | Spatial 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. Full description at Econpapers || Download paper | |
2023 | From 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. Full description at Econpapers || Download paper | |
2023 | Introducing 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. Full description at Econpapers || Download paper | |
2023 | On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205. Full description at Econpapers || Download paper | |
2023 | Monte 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. Full description at Econpapers || Download paper | |
2023 | Probability 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. Full description at Econpapers || Download paper | |
2023 | Sluggish 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. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper | |
2023 | Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao. In: Papers. RePEc:arx:papers:2310.19992. Full description at Econpapers || Download paper | |
2023 | Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883. Full description at Econpapers || Download paper | |
2023 | Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2023 | Constructing Efficient Simulated Moments Using Temporal Convolutional Networks. (2023). Creel, Michael ; Chassot, Jonathan. In: Working Papers. RePEc:bge:wpaper:1412. Full description at Econpapers || Download paper | |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper | |
2023 | S&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. Full description at Econpapers || Download paper | |
2023 | BAYESIAN 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Realized 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. Full description at Econpapers || Download paper | |
2023 | Uncertainty 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. Full description at Econpapers || Download paper | |
2023 | Augmenting 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Asymmetric 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. Full description at Econpapers || Download paper | |
2023 | Global 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. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Data 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Foreign 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. Full description at Econpapers || Download paper | |
2023 | Bayesian 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. Full description at Econpapers || Download paper | |
2023 | Transformations 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. Full description at Econpapers || Download paper | |
2023 | Vector 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Volatility 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. Full description at Econpapers || Download paper | |
2023 | Asymmetric 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. Full description at Econpapers || Download paper | |
2023 | Good 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. Full description at Econpapers || Download paper | |
2023 | Great 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. Full description at Econpapers || Download paper | |
2023 | Sequential 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. Full description at Econpapers || Download paper | |
2023 | Effects 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Building 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. Full description at Econpapers || Download paper | |
2023 | Time-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. Full description at Econpapers || Download paper | |
2023 | Analytically 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. Full description at Econpapers || Download paper | |
2023 | Is 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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Scalable 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Identifying 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. Full description at Econpapers || Download paper | |
2023 | Bias 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2023 | ETF 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. Full description at Econpapers || Download paper | |
2023 | Intraday 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2008 | Measuring downside risk — realised semivariance In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 40 |
2008 | Measuring downside risk-realised semivariance.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2008 | Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 286 |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 286 | article | |
2011 | Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 286 | paper | |
2009 | Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 286 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 286 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 286 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 286 | paper | |
2010 | Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Continuous time analysis of fleeting discrete price moves In: Papers. [Full Text][Citation analysis] | paper | 8 |
2009 | Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2017 | Continuous Time Analysis of Fleeting Discrete Price Moves.(2017) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2020 | Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function In: Papers. [Full Text][Citation analysis] | paper | 4 |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 5 |
1996 | Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 237 |
2002 | Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2010 | DEFERRED FEES FOR UNIVERSITIES In: Economic Affairs. [Full Text][Citation analysis] | article | 0 |
2010 | Deferred fees for universities.(2010) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2019 | A comparison of sample survey measures of earnings of English graduates with administrative data In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 11 |
2001 | Non?Gaussian Ornstein–Uhlenbeck?based models and some of their uses in financial economics In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 519 |
2002 | Econometric analysis of realized volatility and its use in estimating stochastic volatility models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 1098 |
2001 | Econometric analysis of realised volatility and its use in estimating stochastic volatility models.(2001) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1098 | paper | |
2001 | Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.(2001) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1098 | paper | |
2019 | Moment conditions and Bayesian non?parametrics In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 8 |
2016 | Moment conditions and Bayesian nonparametrics.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
1990 | ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 47 |
1999 | Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 13 |
1996 | Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.(1996) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2003 | Likelihood analysis of a first?order autoregressive model with exponential innovations In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 10 |
2008 | The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 33 |
2008 | The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2019 | Is Improving Access to University Enough? Socio?Economic Gaps in the Earnings of English Graduates In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
2003 | Integrated OU Processes and Non?Gaussian OU?based Stochastic Volatility Models In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 39 |
2014 | Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 10 |
1990 | A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1992 | Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 4 |
1992 | Deletion Diagnostics and Transformations for Time Series In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1993 | Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 26 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2002 | Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers. [Full Text][Citation analysis] | paper | 60 |
2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | article | |
2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2005 | The Autoregressive Conditional Root (ACR) Model In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2006 | LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory. [Full Text][Citation analysis] | article | 78 |
2005 | Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
2005 | Limit theorems for bipower variation in financial econometrics.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
2011 | BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 77 |
2008 | Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | paper | |
1991 | From Characteristic Function to Distribution Function: A Simple Framework for the Theory In: Econometric Theory. [Full Text][Citation analysis] | article | 43 |
1993 | Distribution of the ML Estimator of an MA(1) and a local level model In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
2001 | Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica. [Citation analysis] | article | 168 |
1998 | Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers. [Citation analysis] This paper has nother version. Agregated cites: 168 | paper | |
2000 | Likelihood inference for discretely observed non-linear diffusions.(2000) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 168 | paper | |
2004 | Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica. [Full Text][Citation analysis] | article | 368 |
2008 | Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica. [Full Text][Citation analysis] | article | 720 |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 720 | paper | |
2006 | Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 720 | paper | |
2000 | BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 14 |
2009 | Realized kernels in practice: trades and quotes In: Econometrics Journal. [Full Text][Citation analysis] | article | 316 |
1998 | Simulation-based likelihood inference for limited dependent processes In: Econometrics Journal. [Citation analysis] | article | 11 |
1998 | Foreword by the Editors In: Econometrics Journal. [Citation analysis] | article | 0 |
1999 | Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal. [Citation analysis] | article | 259 |
1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 259 | paper | |
2002 | Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 258 |
2006 | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 28 |
2003 | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.(2003) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2006 | Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 155 |
2007 | Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 279 |
2009 | Testing the assumptions behind importance sampling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
2011 | Realized Volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 33 |
2011 | Subsampling realised kernels In: Journal of Econometrics. [Full Text][Citation analysis] | article | 44 |
2006 | Subsampling realised kernels.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2006 | Subsampling realised kernels.(2006) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2006 | Subsampling realised kernels.(2006) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2014 | Multivariate rotated ARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 39 |
2012 | Multivariate Rotated ARCH Models.(2012) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2012 | Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2017 | Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
1994 | Local scale models : State space alternative to integrated GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
1997 | Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
2006 | Limit theorems for multipower variation in the presence of jumps In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 104 |
2005 | Limit theorems for multipower variation in the presence of jumps.(2005) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | paper | |
2005 | Limit theorems for multipower variation in the presence of jumps.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | paper | |
2015 | Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession In: IFS Working Papers. [Full Text][Citation analysis] | paper | 6 |
2016 | How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background In: IFS Working Papers. [Full Text][Citation analysis] | paper | 22 |
2016 | How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2002 | Estimating quadratic variation using realized variance In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 263 |
2010 | Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 240 |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 240 | paper | |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Series Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 240 | paper | |
2009 | Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 240 | paper | |
1993 | Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 34 |
1994 | Stochastic volatility: likelihood inference and comparison with ARCH models In: Economics Papers. [Full Text][Citation analysis] | paper | 1225 |
1996 | Stochastic volatility: likelihood inference and comparison with ARCH models..(1996) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1225 | paper | |
1998 | Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.(1998) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1225 | article | |
1996 | STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1225 | paper | |
1995 | Generalized linear autoregressions In: Economics Papers. [Full Text][Citation analysis] | paper | 18 |
1995 | Likelihood analysis of non-Gaussian parameter driven models In: Economics Papers. [Full Text][Citation analysis] | paper | 15 |
1995 | Likelihood Analysis of Non-Gaussian Parameter-Driven Models..(1995) In: Economics Papers. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2001 | Integrated OU Processes In: Economics Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | Normal modified stable processes In: Economics Papers. [Full Text][Citation analysis] | paper | 42 |
2001 | Normal Modified Stable Processes.(2001) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
2001 | Higher order variation and stochastic volatility models In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | How accurate is the asymptotic approximation to the distribution of realised volatility? In: Economics Papers. [Full Text][Citation analysis] | paper | 17 |
2001 | Realised power variation and stochastic volatility models In: Economics Papers. [Full Text][Citation analysis] | paper | 11 |
2001 | Estimating quadratic variation using realised volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 3 |
2001 | Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers. [Full Text][Citation analysis] | paper | 3 |
2001 | Some recent developments in stochastic volatility modelling In: Economics Papers. [Full Text][Citation analysis] | paper | 37 |
2002 | Some recent developments in stochastic volatility modelling.(2002) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
2001 | Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes In: Economics Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | Dynamics of trade-by-trade price movements: decomposition and models In: Economics Papers. [Full Text][Citation analysis] | paper | 95 |
2003 | Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.(2003) In: The Journal of Financial Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 95 | article | |
2002 | Dynamics of trade-by-trade price movements: decomposition and models.(2002) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 95 | paper | |
2002 | Autoregressive conditional root model In: Economics Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers. [Full Text][Citation analysis] | paper | 12 |
2002 | Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics.(2002) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2002 | Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2002 | Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2002 | Power Variation and Time Change In: Economics Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | Power and bipower variation with stochastic volatility and jumps In: Economics Papers. [Full Text][Citation analysis] | paper | 789 |
2003 | Power variation & stochastic volatility: a review and some new results In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2003 | Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 641 |
2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 641 | article | |
2004 | Econometrics of testing for jumps in financial economics using bipower variationÂ.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 641 | paper | |
2004 | Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Stochastic volatility with leverage: fast likelihood inference In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2004 | Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form In: Economics Papers. [Full Text][Citation analysis] | paper | 21 |
2006 | Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.(2006) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
2004 | Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form.(2004) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2004 | Likelihood based inference for diffusion driven models In: Economics Papers. [Full Text][Citation analysis] | paper | 11 |
2004 | Likelihood based inference for diffusion driven models.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 28 |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2004 | A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers. [Full Text][Citation analysis] | paper | 60 |
2004 | A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2004 | A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers. [Full Text][Citation analysis] | paper | 7 |
2004 | A feasible central limit theory for realised volatility under leverage.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2004 | Multipower Variation and Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 5 |
2004 | Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers. [Full Text][Citation analysis] | paper | 24 |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2005 | Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2005 | Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 138 |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers. [Full Text][Citation analysis] | paper | 14 |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models.(2009) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2009 | Nuisance parameters, composite likelihoods and a panel of GARCH models.(2009) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2009 | Income contingent tuition fees for universities In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Income contingent tuition fees for universities.(2009) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2009 | Income contingent tuition fees for universities.(2009) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | Submission to the review on “Higher Education Funding and Student Finance†In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2011 | Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers. [Full Text][Citation analysis] | paper | 139 |
2011 | Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
2012 | Multivariate high?frequency?based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 139 | article | |
2012 | Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 12 |
2012 | Efficient and feasible inference for the components of financial variation using blocked multipower variation.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2012 | Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2012 | Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2012 | Robust inference on parameters via particle filters and sandwich covariance matrices In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2012 | Robust inference on parameters via particle filters and sandwich covariance matrices.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2012 | Basics of Levy processes In: Economics Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Basics of Levy processes.(2012) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2013 | Martingale unobserved component models In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2013 | Martingale unobserved component models.(2013) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2013 | Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality In: Economics Papers. [Full Text][Citation analysis] | paper | 0 |
1998 | Aggregation and Model Construction for Volatility Models In: Economics Papers. [Citation analysis] | paper | 16 |
2000 | Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics. In: Economics Papers. [Citation analysis] | paper | 0 |
1997 | The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
1997 | Filtering via simulation: auxiliary particle filters In: Economics Papers. [Full Text][Citation analysis] | paper | 17 |
1994 | Multivariate Stochastic Variance Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 584 |
2008 | Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 158 |
2008 | Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 158 | paper | |
2009 | Learning and filtering via simulation: smoothly jittered particle filters In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Likelihood Inference for Exponential-Trawl Processes In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
2000 | Non-Gaussian OU based models and some of their uses in financial economics In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
2008 | Modelling and measuring volatility In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 27 |
2012 | Integer-valued L?vy processes and low latency financial econometrics In: Quantitative Finance. [Full Text][Citation analysis] | article | 19 |
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