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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/10003807446
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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/10003889435
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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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Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
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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/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
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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