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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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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
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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Multivariate high-frequency-based volatility (heavy) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-933
Persistent link: https://www.econbiz.de/10010219743
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State space and unobserved component models : theory and applications
Harvey, Andrew C. (ed.); Koopman, Siem Jan (contributor);  … - 2004 - 1. publ.
Persistent link: https://www.econbiz.de/10009681752
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Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011
Persistent link: https://www.econbiz.de/10008934735
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Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011
Persistent link: https://www.econbiz.de/10008842201
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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/10009579335
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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