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isPartOf:"Journal of econometrics"
~isPartOf:"Economics letters"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of international money and finance"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Shephard, Neil G."
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Search: subject_exact:"Volatility"
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Volatility
8
Volatilität
8
Capital income
4
Kapitaleinkommen
4
Estimation theory
3
Schätztheorie
3
Stochastic process
3
Stochastischer Prozess
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Shephard, Neil G.
Bollerslev, Tim
22
Todorov, Viktor
20
Tauchen, George Eugene
18
McAleer, Michael
15
Andersen, Torben
13
Aït-Sahalia, Yacine
11
Ghysels, Eric
9
Li, Jia
9
Meddahi, Nour
9
Gupta, Rangan
8
Mykland, Per A.
8
Patton, Andrew J.
8
Xiu, Dacheng
8
Kim, Donggyu
7
Renò, Roberto
7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Gallant, A. Ronald
6
Gouriéroux, Christian
6
Hafner, Christian M.
6
Hallin, Marc
6
Li, Wai Keung
6
Maheu, John M.
6
Marcellino, Massimiliano
6
Renault, Eric
6
Spagnolo, Nicola
6
Boswijk, Herman Peter
5
Chan, Joshua
5
Chang, Chia-Lin
5
Clark, Todd E.
5
Corsi, Fulvio
5
Fan, Jianqing
5
Francq, Christian
5
Koopman, Siem Jan
5
Li, Yingying
5
Park, Joon Y.
5
Shin, Dong-wan
5
Taylor, Robert
5
Tse, Yiu Kuen
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Economics letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of international money and finance
Journal of risk and financial management : JRFM
Economics discussion papers
9
Oxford Financial Research Centre economics series
5
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2
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ECONIS (ZBW)
8
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1
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
2
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
3
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
Saved in:
4
Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour
(
contributor
);
Mykland, Per A.
(
contributor
); …
-
2010
Persistent link: https://www.econbiz.de/10009244600
Saved in:
5
Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
Saved in:
6
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 217-252
Persistent link: https://www.econbiz.de/10003298574
Saved in:
7
Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
108
(
2002
)
2
,
pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
Saved in:
8
Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C.
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
4
,
pp. 429-434
Persistent link: https://www.econbiz.de/10001209347
Saved in:
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