Narrow search
Showing 531 - 540 of 601
Cover Image
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
Cover Image
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
Cover Image
Estimating quadratic variation using realized variance
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of applied econometrics 17 (2002) 5, pp. 457-478
Persistent link: https://www.econbiz.de/10006970947
Cover Image
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of econometrics 131 (2006) 1, pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
Cover Image
Likelihood-Based Estimation of Latent Generalized ARCH Structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1481-1518
Persistent link: https://www.econbiz.de/10006755901
Cover Image
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 3, pp. 885-926
Persistent link: https://www.econbiz.de/10006757323
Cover Image
Theory and Methods - Filtering via Simulation: Auxiliary Particle Filters
Pitt, Michael K.; Shephard, Neil - In: Journal of the American Statistical Association : JASA 94 (1999) 446, pp. 590-599
Persistent link: https://www.econbiz.de/10006626716
Cover Image
Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
Shephard, Neil - In: Journal of the American Statistical Association : JASA 88 (1993) 422, pp. 590-595
Persistent link: https://www.econbiz.de/10006638857
Cover Image
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
Harvey, Andrew C.; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10008220742
Cover Image
The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 179-180
Persistent link: https://www.econbiz.de/10008222689