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Stochastic volatility: likelih...
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Shephard, Neil G.
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3
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ECONIS (ZBW)
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Stochastic volatility : likelihood inference and comparison with ARCH models
Kim, Sangjoon
- In:
The review of economic studies
65
(
1998
)
3
,
pp. 361-393
Persistent link: https://www.econbiz.de/10001244376
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2
Stochastic volatility : likelihood inference and comparison with ARCH models
Kim, Sangjoon
;
Shephard, Neil G.
;
Chib, Siddhartha
-
1997
Persistent link: https://www.econbiz.de/10000932608
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3
Dispersion and volatility in stock returns : an empirical investigation
Campbell, John Y.
-
1998
Persistent link: https://www.econbiz.de/10013422598
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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
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5
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009747434
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6
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009732804
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7
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
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8
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
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9
The econometrics of stochastic volatility
Harvey, Andrew C.
;
Shephard, Neil G.
-
1993
Persistent link: https://www.econbiz.de/10000865088
Saved in:
10
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
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