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Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud; Shephard, Neil G. - 2012
Persistent link: https://www.econbiz.de/10009579539
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Bayesian inference based only on simulated likelihood : particle filter analysis of dynamic economic models
Flury, Thomas; Shephard, Neil G. - In: Econometric theory 27 (2011) 5, pp. 933-956
Persistent link: https://www.econbiz.de/10009379765
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009531527
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009531529
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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/10009532682
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009532691
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009532730
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Subsampling realised kernels
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 160 (2011) 1, pp. 204-219
Persistent link: https://www.econbiz.de/10009242524
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Realized volatility
Meddahi, Nour; Mykland, Per A.; Shephard, Neil G. - In: Journal of econometrics 160 (2011) 1, pp. 1
Persistent link: https://www.econbiz.de/10009242567
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Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour (contributor); Mykland, Per A. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10009244600