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Fitting vast dimensional time-varying covariance models
Engle, Robert F.; Shephard, Neil G.; Sheppard, Kevin - 2008
Persistent link: https://www.econbiz.de/10003818564
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Nuisance parameters, composite likelihoods and a panel of GARCH models
Pakel, Cavit; Shephard, Neil G.; Sheppard, Kevin - 2009
Persistent link: https://www.econbiz.de/10003898321
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Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011
Persistent link: https://www.econbiz.de/10008842201
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Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil G.; Sheppard, Kevin - 2009
Persistent link: https://www.econbiz.de/10003875108
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009531527
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009531529
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Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - 2013
Persistent link: https://www.econbiz.de/10009732799
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2011
Persistent link: https://www.econbiz.de/10009231692