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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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The econometrics of stochastic volatility
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000865088
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Estimation and testing of stochastic variance models
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000868273
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Exact score for time series models in state space form
Koopman, Siem Jan; Shephard, Neil G. - 1992
Persistent link: https://www.econbiz.de/10000837992
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Deletion diagnostics and transformations for time series
Atkinson, Anthony C.; Shephard, Neil G. - 1992
Persistent link: https://www.econbiz.de/10000839002
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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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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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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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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - In: Econometric reviews 25 (2006) 2/3, pp. 219-244
Persistent link: https://www.econbiz.de/10003355740
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The Autoregressive Conditional Root (ACR) model
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - 2005
Persistent link: https://www.econbiz.de/10003281526