Neil Shephard : Citation Profile

Are you Neil Shephard?

Harvard University

35

H index

68

i10 index

10702

Citations

RESEARCH PRODUCTION:

53

Articles

135

Papers

EDITOR:

6

Books edited

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 356
   Journals where Neil Shephard has often published
   Relations with other researchers
   Recent citing documents: 559.    Total self citations: 96 (0.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh10
   Updated: 2023-11-04    RAS profile: 2019-10-15    
   Missing citations? Add them    Incorrect content? Let us know

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 (194)

Asai, Manabu (190)

Andersen, Torben (188)

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 (121)

Diebold, Francis (99)

Ghysels, Eric (79)

Harvey, Andrew (76)

Renault, Eric (75)

Engle, Robert (64)

Lunde, Asger (49)

Hansen, Peter (47)

Meddahi, Nour (43)

Gallant, A. (34)

Main data

Where Neil Shephard has published?

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

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 (2023 and 2022)

YearTitle of citing document
2022.

Full description at Econpapers || Download paper

2022Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

Full description at Econpapers || Download paper

2023Limits 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

2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Synthetic learner: model-free inference on treatments over time. (2019). Bradic, Jelena ; Viviano, Davide. In: Papers. RePEc:arx:papers:1904.01490.

Full description at Econpapers || Download paper

2022Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

Full description at Econpapers || Download paper

2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

Full description at Econpapers || Download paper

2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

Full description at Econpapers || Download paper

2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

Full description at Econpapers || Download paper

2022Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131.

Full description at Econpapers || Download paper

2022Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (2021). Sengupta, Indranil ; Hui, Xianfei ; Sun, Baiqing ; Jiang, Hui. In: Papers. RePEc:arx:papers:2101.08984.

Full description at Econpapers || Download paper

2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

Full description at Econpapers || Download paper

2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

Full description at Econpapers || Download paper

2022Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. (2021). Yu, Xun ; Jia, Yanwei. In: Papers. RePEc:arx:papers:2108.06655.

Full description at Econpapers || Download paper

2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

Full description at Econpapers || Download paper

2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

Full description at Econpapers || Download paper

2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

Full description at Econpapers || Download paper

2023Dynamic 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

2022From Rough to Multifractal volatility: the log S-fBM model. (2022). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Wu, Peng. In: Papers. RePEc:arx:papers:2201.09516.

Full description at Econpapers || Download paper

2022Efficient Volatility Estimation for L\evy Processes with Jumps of Unbounded Variation. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2202.00877.

Full description at Econpapers || Download paper

2022First-order integer-valued autoregressive processes with Generalized Katz innovations. (2022). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029.

Full description at Econpapers || Download paper

2023Volatility 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

2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

Full description at Econpapers || Download paper

2022From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. (2022). Mariotti, Tommaso ; Toscano, Giacomo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2202.12137.

Full description at Econpapers || Download paper

2022Dynamic Spatiotemporal ARCH Models. (2022). Otto, Philipp ; Tacspinar, Suleyman ; Dougan, Osman. In: Papers. RePEc:arx:papers:2202.13856.

Full description at Econpapers || Download paper

2022Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506.

Full description at Econpapers || Download paper

2022Modeling dynamic volatility under uncertain environment with fuzziness and randomness. (2022). Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.12657.

Full description at Econpapers || Download paper

2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

Full description at Econpapers || Download paper

2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting. (2022). Hautsch, Nikolaus ; Bayer, Xandro ; Reisenhofer, Rafael. In: Papers. RePEc:arx:papers:2205.07719.

Full description at Econpapers || Download paper

2023Estimating 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

2023Forecasting 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

2022Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374.

Full description at Econpapers || Download paper

2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen. In: Papers. RePEc:arx:papers:2206.08438.

Full description at Econpapers || Download paper

2023Cost-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

2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988.

Full description at Econpapers || Download paper

2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

Full description at Econpapers || Download paper

2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255.

Full description at Econpapers || Download paper

2022Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks. (2022). Moln, G'Abor ; Csabai, Istv'an ; Kuns, S'Andor. In: Papers. RePEc:arx:papers:2208.14038.

Full description at Econpapers || Download paper

2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

Full description at Econpapers || Download paper

2023Efficient 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

2022The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393.

Full description at Econpapers || Download paper

2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

Full description at Econpapers || Download paper

2023An 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

2023Score-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

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.

Full description at Econpapers || Download paper

2022Understanding stock market instability via graph auto-encoders. (2022). Zohren, Stefan ; Dong, Xiaowen ; Gorduza, Dragos. In: Papers. RePEc:arx:papers:2212.04974.

Full description at Econpapers || Download paper

2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

Full description at Econpapers || Download paper

2022Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

Full description at Econpapers || Download paper

2023Sequential 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

2023Hierarchical 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

2023Sequential 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Large 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

2023Hierarchical 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

2023Volatility 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

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.

Full description at Econpapers || Download paper

2023Modeling 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

2023Latent 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Recurrent 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2023Statistical 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

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

Full description at Econpapers || Download paper

2022Sectoral Uncertainty. (2022). Uzeda, Luis ; Tuzcuoglu, Kerem ; Castelnuovo, Efrem. In: Staff Working Papers. RePEc:bca:bocawp:22-38.

Full description at Econpapers || Download paper

2022Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22.

Full description at Econpapers || Download paper

2022Global production linkages and stock market co-movement. (2022). Schrimpf, Andreas ; Auer, Raphael ; Wagner, Alexander F ; Iwadate, Bruce Muneaki. In: BIS Working Papers. RePEc:bis:biswps:1003.

Full description at Econpapers || Download paper

2023Forecasting 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

2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

Full description at Econpapers || Download paper

2022How structural is unemployment in the United States?. (2022). Liu, Yuelin. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:3:p:1258-1276.

Full description at Econpapers || Download paper

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

Neil Shephard has edited the books:

YearTitleTypeCited

Works by Neil Shephard:

YearTitleTypeCited
2008Measuring downside risk — realised semivariance In: CREATES Research Papers.
[Full Text][Citation analysis]		paper36
2008Measuring downside risk-realised semivariance.(2008) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
2008Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
2008Multivariate 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]		paper283
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		article
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		paper
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		paper
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.
[Citation analysis]
This paper has another version. Agregated cites: 283		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 283		paper
2010Integer-valued Lévy processes and low latency financial econometrics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015Continuous time analysis of fleeting discrete price moves In: Papers.
[Full Text][Citation analysis]		paper7
2009Continuous time analysis of fleeting discrete price moves.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2017Continuous Time Analysis of Fleeting Discrete Price Moves.(2017) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2020Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function In: Papers.
[Full Text][Citation analysis]		paper4
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article5
1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article237
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2010DEFERRED FEES FOR UNIVERSITIES In: Economic Affairs.
[Full Text][Citation analysis]		article0
2010Deferred fees for universities.(2010) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019A 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]		article11
2001Non?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]		article519
2002Econometric 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]		article1091
2001Econometric analysis of realised volatility and its use in estimating stochastic volatility models.(2001) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1091		paper
2001Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.(2001) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1091		paper
2019Moment conditions and Bayesian non?parametrics In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article8
2016Moment conditions and Bayesian nonparametrics.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
1990ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article47
1999Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article13
1996Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.(1996) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2003Likelihood analysis of a first?order autoregressive model with exponential innovations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article10
2008The ACR Model: A Multivariate Dynamic Mixture Autoregression* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article33
2008The ACR model: a multivariate dynamic mixture autoregression.(2008) In: THEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		paper
2019Is 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]		article2
2003Integrated OU Processes and Non?Gaussian OU?based Stochastic Volatility Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article39
2014Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article8
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.
[Citation analysis]		paper0
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.
[Citation analysis]		paper4
1992Deletion Diagnostics and Transformations for Time Series In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
1993Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper26
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.
[Full Text][Citation analysis]		paper0
2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
[Full Text][Citation analysis]		paper60
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		article
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2005The Autoregressive Conditional Root (ACR) Model In: Working Papers.
[Full Text][Citation analysis]		paper4
2006LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS In: Econometric Theory.
[Full Text][Citation analysis]		article78
2005Limit theorems for bipower variation in financial econometrics.(2005) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78		paper
2005Limit theorems for bipower variation in financial econometrics.(2005) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78		paper
2011BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article76
2008Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
1991From Characteristic Function to Distribution Function: A Simple Framework for the Theory In: Econometric Theory.
[Full Text][Citation analysis]		article43
1993Distribution of the ML Estimator of an MA(1) and a local level model In: Econometric Theory.
[Full Text][Citation analysis]		article12
2001Likelihood Inference for Discretely Observed Nonlinear Diffusions. In: Econometrica.
[Citation analysis]		article168
1998Likelihood INference for Discretely Observed Non-linear Diffusions.(1998) In: Economics Papers.
[Citation analysis]
This paper has another version. Agregated cites: 168		paper
2000Likelihood inference for discretely observed non-linear diffusions.(2000) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 168		paper
2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics In: Econometrica.
[Full Text][Citation analysis]		article359
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise In: Econometrica.
[Full Text][Citation analysis]		article713
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 713		paper
2006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 713		paper
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.
[Full Text][Citation analysis]		paper14
2009Realized kernels in practice: trades and quotes In: Econometrics Journal.
[Full Text][Citation analysis]		article309
1998Simulation-based likelihood inference for limited dependent processes In: Econometrics Journal.
[Citation analysis]		article11
1998Foreword by the Editors In: Econometrics Journal.
[Citation analysis]		article0
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]		article258
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 258		paper
2002Markov chain Monte Carlo methods for stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article256
2006Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
2003Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.(2003) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2006Analysis of high dimensional multivariate stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article152
2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article277
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2011Realized Volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2011Subsampling realised kernels In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2006Subsampling realised kernels.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2006Subsampling realised kernels.(2006) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2006Subsampling realised kernels.(2006) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2014Multivariate rotated ARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article39
2012Multivariate Rotated ARCH Models.(2012) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2012Multivariate Rotated ARCH models.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
1994Local scale models : State space alternative to integrated GARCH processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article24
1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2006Limit theorems for multipower variation in the presence of jumps In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article104
2005Limit theorems for multipower variation in the presence of jumps.(2005) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		paper
2005Limit theorems for multipower variation in the presence of jumps.(2005) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		paper
2015Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession In: IFS Working Papers.
[Full Text][Citation analysis]		paper6
2016How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background In: IFS Working Papers.
[Full Text][Citation analysis]		paper22
2016How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2002Estimating quadratic variation using realized variance In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article259
2010Realising the future: forecasting with high-frequency-based volatility (HEAVY) models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article236
2009Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 236		paper
2009Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: Economics Series Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 236		paper
2009Realising the future: forecasting with high frequency based volatility (HEAVY) models.(2009) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 236		paper
1993Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article34
1994Stochastic volatility: likelihood inference and comparison with ARCH models In: Economics Papers.
[Full Text][Citation analysis]		paper1214
1996Stochastic volatility: likelihood inference and comparison with ARCH models..(1996) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1214		paper
1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.(1998) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1214		article
1996STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS.(1996) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1214		paper
1995Generalized linear autoregressions In: Economics Papers.
[Full Text][Citation analysis]		paper18
1995Likelihood analysis of non-Gaussian parameter driven models In: Economics Papers.
[Full Text][Citation analysis]		paper15
1995Likelihood Analysis of Non-Gaussian Parameter-Driven Models..(1995) In: Economics Papers.
[Citation analysis]
This paper has another version. Agregated cites: 15		paper
2001Integrated OU Processes In: Economics Papers.
[Full Text][Citation analysis]		paper2
2001Normal modified stable processes In: Economics Papers.
[Full Text][Citation analysis]		paper42
2001Normal Modified Stable Processes.(2001) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2001Higher order variation and stochastic volatility models In: Economics Papers.
[Full Text][Citation analysis]		paper0
2001How accurate is the asymptotic approximation to the distribution of realised volatility? In: Economics Papers.
[Full Text][Citation analysis]		paper17
2001Realised power variation and stochastic volatility models In: Economics Papers.
[Full Text][Citation analysis]		paper11
2001Estimating quadratic variation using realised volatility In: Economics Papers.
[Full Text][Citation analysis]		paper3
2001Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers.
[Full Text][Citation analysis]		paper3
2001Some recent developments in stochastic volatility modelling In: Economics Papers.
[Full Text][Citation analysis]		paper37
2002Some recent developments in stochastic volatility modelling.(2002) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		article
2001Comment 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]		paper2
2002Dynamics of trade-by-trade price movements: decomposition and models In: Economics Papers.
[Full Text][Citation analysis]		paper95
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.(2003) In: The Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 95		article
2002Dynamics of trade-by-trade price movements: decomposition and models.(2002) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 95		paper
2002Autoregressive conditional root model In: Economics Papers.
[Full Text][Citation analysis]		paper13
2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics In: Economics Papers.
[Full Text][Citation analysis]		paper12
2002Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics.(2002) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
[Full Text][Citation analysis]		paper8
2002Measuring and forecasting financial variability using realised variance with and without a model In: Economics Papers.
[Full Text][Citation analysis]		paper6
2002Power Variation and Time Change In: Economics Papers.
[Full Text][Citation analysis]		paper2
2003Power and bipower variation with stochastic volatility and jumps In: Economics Papers.
[Full Text][Citation analysis]		paper790
2003Power variation & stochastic volatility: a review and some new results In: Economics Papers.
[Full Text][Citation analysis]		paper8
2003Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers.
[Full Text][Citation analysis]		paper635
2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 635		article
2004Econometrics of testing for jumps in financial economics using bipower variationÂ.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 635		paper
2004Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers.
[Full Text][Citation analysis]		paper0
2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
[Full Text][Citation analysis]		paper8
2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2004Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form In: Economics Papers.
[Full Text][Citation analysis]		paper21
2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.(2006) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2004Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form.(2004) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2004Likelihood based inference for diffusion driven models In: Economics Papers.
[Full Text][Citation analysis]		paper11
2004Likelihood based inference for diffusion driven models.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers.
[Full Text][Citation analysis]		paper28
2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
[Full Text][Citation analysis]		paper60
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2004A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers.
[Full Text][Citation analysis]		paper7
2004A feasible central limit theory for realised volatility under leverage.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2004Multipower Variation and Stochastic Volatility In: Economics Papers.
[Full Text][Citation analysis]		paper5
2004Multipower Variation and Stochastic Volatility.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2005Variation, jumps, market frictions and high frequency data in financial econometrics In: Economics Papers.
[Full Text][Citation analysis]		paper23
2005Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2005Variation, jumps, market frictions and high frequency data in financial econometrics.(2005) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2005Stochastic Volatility In: Economics Papers.
[Full Text][Citation analysis]		paper138
2008Stochastic Volatility: Origins and Overview In: Economics Papers.
[Full Text][Citation analysis]		paper10
2008Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2008Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2009Nuisance parameters, composite likelihoods and a panel of GARCH models In: Economics Papers.
[Full Text][Citation analysis]		paper14
2009Nuisance parameters, composite likelihoods and a panel of GARCH models.(2009) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2009Nuisance parameters, composite likelihoods and a panel of GARCH models.(2009) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2009Income contingent tuition fees for universities In: Economics Papers.
[Full Text][Citation analysis]		paper0
2009Income contingent tuition fees for universities.(2009) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2009Income contingent tuition fees for universities.(2009) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2010Submission to the review on “Higher Education Funding and Student Finance” In: Economics Papers.
[Full Text][Citation analysis]		paper0
2010Discrete-valued Levy processes and low latency financial econometrics In: Economics Papers.
[Full Text][Citation analysis]		paper0
2010Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models In: Economics Papers.
[Full Text][Citation analysis]		paper137
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models.(2011) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 137		paper
2012Multivariate high?frequency?based volatility (HEAVY) models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 137		article
2012Efficient and feasible inference for the components of financial variation using blocked multipower variation In: Economics Papers.
[Full Text][Citation analysis]		paper12
2012Efficient and feasible inference for the components of financial variation using blocked multipower variation.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Papers.
[Full Text][Citation analysis]		paper6
2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2012Robust inference on parameters via particle filters and sandwich covariance matrices In: Economics Papers.
[Full Text][Citation analysis]		paper6
2012Robust inference on parameters via particle filters and sandwich covariance matrices.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2012Basics of Levy processes In: Economics Papers.
[Full Text][Citation analysis]		paper4
2012Basics of Levy processes.(2012) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2013Martingale unobserved component models In: Economics Papers.
[Full Text][Citation analysis]		paper10
2013Martingale unobserved component models.(2013) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2013Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality In: Economics Papers.
[Full Text][Citation analysis]		paper0
1998Aggregation and Model Construction for Volatility Models In: Economics Papers.
[Citation analysis]		paper16
2000Non-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]		paper0
1997The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model In: Economics Papers.
[Full Text][Citation analysis]		paper1
1997Filtering via simulation: auxiliary particle filters In: Economics Papers.
[Full Text][Citation analysis]		paper17
1994Multivariate Stochastic Variance Models In: Review of Economic Studies.
[Full Text][Citation analysis]		article583
2008Fitting vast dimensional time-varying covariance models In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper158
2008Fitting vast dimensional time-varying covariance models.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 158		paper
2009Learning and filtering via simulation: smoothly jittered particle filters In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper8
2008Likelihood Inference for Exponential-Trawl Processes In: Working Paper.
[Full Text][Citation analysis]		paper0
2000Non-Gaussian OU based models and some of their uses in financial economics In: OFRC Working Papers Series.
[Full Text][Citation analysis]		paper10
2008Modelling and measuring volatility In: OFRC Working Papers Series.
[Full Text][Citation analysis]		paper0
2016Econometric 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]		article27

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team