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ECONIS (ZBW)
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Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009531407
Saved in:
2
Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
Saved in:
3
Econometric analysis of realized covariation : high frequency based covariance, regression, and correlation in financial economics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Econometrica : journal of the Econometric Society, an …
72
(
2004
)
3
,
pp. 885-925
Persistent link: https://www.econbiz.de/10002095843
Saved in:
4
A feasible central limit theory for realised volatility under leverage
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001923849
Saved in:
5
A feasible central limit theory for realised volatility under leverage
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984062
Saved in:
6
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2001
Persistent link: https://www.econbiz.de/10001598164
Saved in:
7
Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579335
Saved in:
8
Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579539
Saved in:
9
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009532682
Saved in:
10
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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