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Theorie
Theory
72
Estimation theory
57
Schätztheorie
57
Volatility
51
Zeitreihenanalyse
46
Time series analysis
45
Volatilität
42
Stochastic process
39
Stochastischer Prozess
39
Econometrics
35
Quadratic variation
32
ARCH model
26
ARCH-Modell
26
Realised variance
25
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25
Markov chain Monte Carlo
23
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21
State space model
19
Zustandsraummodell
18
stochastic volatility
18
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17
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16
Finanzmarkt
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Großbritannien
16
Multivariate Analyse
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Schätzung
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Market frictions
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Markov chain
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Semimartingale
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particle filter
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English
73
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Shephard, Neil G.
53
Barndorff-Nielsen, Ole E.
21
Shephard, Neil
9
Chib, Siddhartha
7
Bos, Charles S.
6
Rambachan, Ashesh
6
Bojinov, Iavor
5
Lunde, Asger
5
Mullainathan, Sendhil
5
Hansen, Peter Reinhard
4
Harvey, Andrew C.
4
Ludwig, Jens
4
Kleinberg, Jon
3
Koopman, Siem Jan
3
Sheppard, Kevin
3
Doornik, Jurgen A.
2
Kim, Sangjoon
2
Kinnebrock, Silja
2
Manrique, Aurora
2
Nardari, Federico
2
Pakel, Cavit
2
Pitt, Michael K.
2
Xiu, Dacheng
2
Zhao, Jinglong
2
Andrews, Isaiah
1
Atkinson, A. C.
1
Atkinson, Anthony C.
1
Barahona, Nano
1
Basse, Guillaume
1
Elerian, Ola
1
Fiorentini, Gabriele
1
Flury, Thomas
1
Gentzkow, Matthew Aaron
1
Graversen, Svend Erik
1
Hendry, David F.
1
Hoyle, Edward
1
Jacob, Jean
1
Kooiman, Siem J.
1
Liang, Biyonka
1
Menchetti, Fiammetta
1
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Centre for Analytical Finance <Århus>
3
National Bureau of Economic Research
3
Conference State Space and Unobserved Component Models <2002, Amsterdam>
1
Nuffield College
1
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Economics discussion papers
8
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
7
Department of Economics discussion paper series / University of Oxford
6
Oxford Financial Research Centre economics series
4
Working papers / Harvard Business School, Division of Research
4
Discussion paper / Tinbergen Institute
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of econometrics
3
NBER working paper series
3
Department of Economics discussion paper series
2
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The econometrics journal
2
The review of economic studies
2
Advances in economics and econometrics ; Vol. 3
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper series / LSE Financial Markets Group
1
Econometric reviews
1
Journal of applied econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
NBER Working Paper
1
Time series models : in econometrics, finance and other fields
1
Tinbergen Institute Discussion Paper
1
Working paper / National Bureau of Economic Research, Inc.
1
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ECONIS (ZBW)
72
EconStor
1
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1
From characteristic function to distribution function : a simple framework for the theory
Shephard, Neil G.
- In:
Econometric theory
7
(
1991
)
4
,
pp. 519-529
Persistent link: https://www.econbiz.de/10001117734
Saved in:
2
Statistical aspects of ARCH and stochastic volatility
Shephard, Neil G.
- In:
Time series models : in econometrics, finance and other …
,
(pp. 1-67)
.
1996
Persistent link: https://www.econbiz.de/10001319937
Saved in:
3
Distribution of the ML estimator of an MA(1) and a local level model
Shephard, Neil G.
- In:
Econometric theory
9
(
1993
)
3
,
pp. 377-401
Persistent link: https://www.econbiz.de/10001151128
Saved in:
4
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:
5
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009747434
Saved in:
6
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009732804
Saved in:
7
Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan
;
Shephard, Neil G.
;
Doornik, Jurgen A.
-
1998
Persistent link: https://www.econbiz.de/10000167948
Saved in:
8
Stochastic volatility : likelihood inference and comparison with ARCH models
Kim, Sangjoon
;
Shephard, Neil G.
;
Chib, Siddhartha
-
1997
Persistent link: https://www.econbiz.de/10000932608
Saved in:
9
Dynamics of trade-by-trade price movements : decomposition and models
Rydberg, Tina Hviid
;
Shephard, Neil G.
-
1998
Persistent link: https://www.econbiz.de/10001369502
Saved in:
10
Multivariate stochastic variance models
Harvey, Andrew C.
- In:
The review of economic studies
61
(
1994
)
2
,
pp. 247-264
Persistent link: https://www.econbiz.de/10001160740
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