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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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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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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
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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
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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
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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
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[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