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~person:"Sheppard, Kevin"
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What good is a volatility mode...
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Sheppard, Kevin
Engle, Robert F.
239
Patton, Andrew J.
91
Engle, R. F.
30
Bollerslev, Tim
21
Acharya, Viral V.
17
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17
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Good volatility, bad volatility : signed jumps and the persistence of volatility
Patton, Andrew J.
;
Sheppard, Kevin
- In:
The review of economics and statistics
97
(
2015
)
3
,
pp. 683-697
Persistent link: https://www.econbiz.de/10011333073
Saved in:
2
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-238
Persistent link: https://www.econbiz.de/10003870045
Saved in:
3
Evaluating volatility and correlation forecasts
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Handbook of financial time series
,
(pp. 801-838)
.
2009
Persistent link: https://www.econbiz.de/10003834236
Saved in:
4
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
Saved in:
5
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
6
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:
7
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001618448
Saved in:
8
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001620854
Saved in:
9
Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo
;
Engle, Robert F.
;
Sheppard, Kevin
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 537-572
Persistent link: https://www.econbiz.de/10003565737
Saved in:
10
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:
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