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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
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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
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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
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Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
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Detecting shocks: Outliers and breaks in time series
Atkinson, A. C.; Koopman, S. J.; Shephard, N. - In: Journal of Econometrics 80 (1997) 2, pp. 387-422
Persistent link: https://www.econbiz.de/10005228926