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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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The ACR model : a multivariate dynamic mixture autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10003759114
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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
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Stochastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003807435
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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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Stoachastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003818421
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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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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil G. - In: Journal of econometrics 134 (2006) 2, pp. 341-371
Persistent link: https://www.econbiz.de/10003374317