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Shephard, Neil
26
Barndorff-Nielsen, Ole E.
7
Chib, Siddhartha
5
Lunde, Asger
3
Creal, Drew
2
Hansen, Peter Reinhard
2
Koopman, Siem Jan
2
Nardari, Federico
2
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1
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1
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1
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1
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1
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1
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Journal of econometrics
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
2
Journal of applied econometrics
2
Journal of the American Statistical Association : JASA
2
Econometric reviews
1
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1
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OLC EcoSci
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ECONIS (ZBW)
194
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18
Other ZBW resources
4
EconStor
3
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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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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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