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Realized Kernels in Practice :...
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307
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240
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205
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175
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149
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43
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38
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28
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18
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16
Sentana, Enrique
16
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14
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10
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9
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9
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1
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59
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25
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16
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12
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11
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Stochastic Processes and their Applications
6
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Econometric modelling of durations between economic events
4
Econometric reviews
4
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Oxford bulletin of economics and statistics
4
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691
Nuisance parameters, composite likelihoods and a panel of GARCH models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2009
Persistent link: https://www.econbiz.de/10003898321
Saved in:
692
Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
Saved in:
693
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil G.
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-11
Persistent link: https://www.econbiz.de/10003833708
Saved in:
694
Stochastic volatility: origins and overview
Shephard, Neil G.
;
Andersen, Torben
- In:
Handbook of financial time series
,
(pp. 233-254)
.
2009
Persistent link: https://www.econbiz.de/10003833953
Saved in:
695
Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579335
Saved in:
696
Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud
;
Shephard, Neil G.
-
2012
Persistent link: https://www.econbiz.de/10009579539
Saved in:
697
Likelihood inference for discretely observed non-linear diffusions
Elerian, Ola
;
Chib, Siddhartha
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581671
Saved in:
698
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531527
Saved in:
699
Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531529
Saved in:
700
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009532682
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