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Multivariate Stochastic Variance Models
Harvey, Andrew; Ruiz, Esther; Shephard, Neil - In: The review of economic studies 61 (1994) 207, pp. 247-264
Persistent link: https://www.econbiz.de/10007713564
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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Barndorff-Nielsen, Olee; Hansen, Peterreinhard; Lunde, Asger - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10008145108
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The ACR Model: A Multivariate Dynamic Mixture Autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10008103830
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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - In: Journal of econometrics 134 (2006) 2, pp. 341-372
Persistent link: https://www.econbiz.de/10007279810
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
Bos, Charles; Shephard, Neil - In: Econometric reviews 25 (2006) 2-3, pp. 219-244
Persistent link: https://www.econbiz.de/10007283045
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Distribution of the ML Estimator of an MA(1) and a Local Level Model
Shephard, Neil - In: Econometric theory 9 (1993) 3, pp. 377-401
Persistent link: https://www.econbiz.de/10007019293
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Multivariate high‐frequency‐based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-934
Persistent link: https://www.econbiz.de/10010022053
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BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
Flury, Thomas; Shephard, Neil - In: Econometric theory 27 (2011) 5, pp. 933-957
Persistent link: https://www.econbiz.de/10009287898
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Testing the assumptions behind importance sampling
Koopman, Siem Jan; Shephard, Neil; Creal, Drew - In: Journal of econometrics 149 (2009) 1, pp. 2-12
Persistent link: https://www.econbiz.de/10008899335
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Detecting shocks : outliers and breaks in time series
Atkinson, A. C.; Kooiman, Siem J.; Shephard, Neil - 1993
Persistent link: https://www.econbiz.de/10000122498