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Realising the future: forecasting with high-frequency-based volatility (HEAVY) models

Shephard, Neil; Sheppard, Kevin - In: Journal of Applied Econometrics 25 (2010) 2, pp. 197-231

This paper studies in some detail a class of high-frequency-based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realised measures constructed from high-frequency data. Our analysis identifies that the models have momentum and mean reversion...

Persistent link: https://www.econbiz.de/10008632851

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

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

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

Realized Volatility

Meddahi, Nour; Mykland, Per; Shephard, Neil - In: Journal of econometrics 160 (2011) 1, pp. 1-2

Persistent link: https://www.econbiz.de/10008770560

The 2001 JBES Invited Paper - Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion

Chib, Siddhartha; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 325-326

Persistent link: https://www.econbiz.de/10008216274

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

Comment - Bayesian Analysis of Stochastic Volatility Models

Shephard, Neil; Kim, Sangjoon - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 406-409

Persistent link: https://www.econbiz.de/10008224417

Testing the assumptions behind importance sampling

Koopman, Siem Jan; Shephard, Neil; Creal, Drew - In: Journal of econometrics 149 (2009) 1, pp. 2-11

Persistent link: https://www.econbiz.de/10008237918

Stochastic volatility with leverage: Fast and efficient likelihood inference

Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; … - In: Journal of econometrics 140 (2007) 2, pp. 425-449

Persistent link: https://www.econbiz.de/10007761426