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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-720
Persistent link: https://www.econbiz.de/10007268465
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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - In: Journal of econometrics 134 (2006) 2, pp. 341-372
Persistent link: https://www.econbiz.de/10007279810
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
Bos, Charles; Shephard, Neil - In: Econometric reviews 25 (2006) 2-3, pp. 219-244
Persistent link: https://www.econbiz.de/10007283045
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Theory and Methods - Filtering via Simulation: Auxiliary Particle Filters
Pitt, Michael K.; Shephard, Neil - In: Journal of the American Statistical Association : JASA 94 (1999) 446, pp. 590-599
Persistent link: https://www.econbiz.de/10006626716
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Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
Shephard, Neil - In: Journal of the American Statistical Association : JASA 88 (1993) 422, pp. 590-595
Persistent link: https://www.econbiz.de/10006638857
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of econometrics 131 (2006) 1, pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
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Likelihood-Based Estimation of Latent Generalized ARCH Structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1481-1518
Persistent link: https://www.econbiz.de/10006755901
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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 3, pp. 885-926
Persistent link: https://www.econbiz.de/10006757323
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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Barndorff-Nielsen, Olee; Hansen, Peterreinhard; Lunde, Asger - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10008145108
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-220
Persistent link: https://www.econbiz.de/10008770543