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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
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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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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
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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
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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
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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/10003875073
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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