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Modelling Energy Spot Prices by Volatility Modulated Lévy-Driven Volterra Processes
Barndorff-Nielsen, Ole E. - 2013
This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot...
Persistent link: https://www.econbiz.de/10013086175
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A local scale model : an unobserved component alternative to integrated garch processes
Shephard, Neil G. - 1990
Persistent link: https://www.econbiz.de/10000804115
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele (contributor);  … - 2003 - [Elektronische Ressource], 1. ed
Persistent link: https://www.econbiz.de/10001739262
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil G. - 2003
Persistent link: https://www.econbiz.de/10001786004
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Likelihood-based estimation of latent generalized arch structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil G. - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1481-1517
Persistent link: https://www.econbiz.de/10002197476
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Likelihood-based estimation of latent Generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil G. - 2002
Persistent link: https://www.econbiz.de/10001726581
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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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Stochastic volatility: origins and overview
Shephard, Neil G.; Andersen, Torben - In: Handbook of financial time series, (pp. 233-254). 2009
Persistent link: https://www.econbiz.de/10003833953