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subject:"Probability theory"
subject:"Time series analysis"
~person:"Shephard, Neil G."
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Probability theory
Time series analysis
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Estimation theory
44
Schätztheorie
44
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13
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13
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12
Multivariate Analyse
10
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9
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Shephard, Neil G.
Phillips, Peter C. B.
96
Gao, Jiti
75
Koopman, Siem Jan
55
Teräsvirta, Timo
45
Johansen, Søren
43
Linton, Oliver
43
Lütkepohl, Helmut
42
Franses, Philip Hans
41
Nielsen, Morten Ørregaard
39
Engle, Robert F.
34
Kapetanios, George
33
Zakoïan, Jean-Michel
32
Francq, Christian
31
Harvey, Andrew C.
29
Koop, Gary
29
Li, Degui
29
Stock, James H.
29
Swanson, Norman R.
29
Pesaran, M. Hashem
28
McAleer, Michael
27
Rahbek, Anders
27
Lucas, André
26
Nelson, Daniel B.
26
Sibbertsen, Philipp
26
Gouriéroux, Christian
25
Peng, Bin
25
Perron, Pierre
25
Robinson, Peter M.
25
Taylor, Robert
25
Watson, Mark W.
25
Xiao, Zhijie
25
Bauwens, Luc
24
Maravall Herrero, Agustín
24
Brännäs, Kurt
23
Leybourne, Stephen James
23
Nielsen, Bent
23
Cavaliere, Giuseppe
22
Chambers, Marcus J.
22
Giraitis, Liudas
22
Haldrup, Niels
22
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Journal of econometrics
4
Department of Economics discussion paper series / University of Oxford
3
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3
Economics discussion papers
3
Suntory Toyota International Centre for Economics and Related Disciplines
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ECONIS (ZBW)
18
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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
Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579335
Saved in:
3
Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579539
Saved in:
4
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531527
Saved in:
5
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009532730
Saved in:
6
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
7
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003807446
Saved in:
8
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003818564
Saved in:
9
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:
10
Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 341-371
Persistent link: https://www.econbiz.de/10003374317
Saved in:
1
2
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