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The ACR model : a multivariate...
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193
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174
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150
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129
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68
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43
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42
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38
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35
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21
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17
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17
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Conference State Space and Unobserved Component Models <2002, Amsterdam>
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Economics Series Working Papers / Department of Economics, Oxford University
70
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62
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36
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35
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25
Econometric theory
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13
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Discussion Papers / Økonomisk Institut, Københavns Universitet
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Oxford Financial Research Centre economics series
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The econometrics journal
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Econometric Theory
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Revue d'économie politique
10
THEMA Working Papers
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Univ. of Copenhagen Dept. of Economics Discussion Paper
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Econometrica
7
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
6
CREATES Research Paper
5
Discussion paper / Tinbergen Institute
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Documents de travail / Banque de France
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Econometric reviews
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5
Oxford Bulletin of Economics and Statistics
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Recherches économiques de Louvain
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4
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21
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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22
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:
23
Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.
;
Graversen, Svend Erik
; …
- In:
Econometric theory
22
(
2006
)
4
,
pp. 677-719
Persistent link: https://www.econbiz.de/10003351877
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24
How accurate is the asymptotic approximation to the distribution of realised variance?
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Identification and inference for econometric models : …
,
(pp. 306-331)
.
2005
Persistent link: https://www.econbiz.de/10003352563
Saved in:
25
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
Saved in:
26
Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10003313338
Saved in:
27
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2006
Persistent link: https://www.econbiz.de/10003341258
Saved in:
28
[Rezension von: Stochastic volatility, selected readings, ed. by Neil Shephard]
Cavaliere, Giuseppe
- In:
The economic journal : the journal of the Royal …
116
(
2006
),
pp. 306-325
Persistent link: https://www.econbiz.de/10003333926
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29
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2006
Persistent link: https://www.econbiz.de/10003334801
Saved in:
30
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil G.
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-11
Persistent link: https://www.econbiz.de/10003833708
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