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person:"Fornari, Fabio"
subject:"Share price"
~person:"Shephard, Neil G."
~subject:"Multivariate analysis"
~subject:"Simulation"
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Multivariate analysis
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54
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Fornari, Fabio
Shephard, Neil G.
Kleijnen, Jack P. C.
17
Pesaran, M. Hashem
17
Teräsvirta, Timo
14
Kapetanios, George
13
Sentana, Enrique
12
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12
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11
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11
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11
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11
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10
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10
Lux, Thomas
10
Rossi, Barbara
10
Słoczyński, Tymon
10
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9
Khalaf, Lynda
9
Liesenfeld, Roman
9
Nason, James Michael
9
Silvennoinen, Annastiina
9
Todorov, Viktor
9
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8
Fiorentini, Gabriele
8
Hajivassiliou, Vassilis Argyrou
8
Hautsch, Nikolaus
8
Inoue, Atsushi
8
Li, Jia
8
Nesheim, Lars
8
Zakoïan, Jean-Michel
8
Allen, David E.
7
Bauwens, Luc
7
Chib, Siddhartha
7
Escanciano, Juan Carlos
7
Faff, Robert W.
7
Hafner, Christian M.
7
Hong, Han
7
Kim, Donggyu
7
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7
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Department of Economics discussion paper series / University of Oxford
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Economics discussion papers
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ECONIS (ZBW)
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Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
2
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/10009531407
Saved in:
3
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531527
Saved in:
4
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
Saved in:
5
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009532730
Saved in:
6
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
7
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2009
Persistent link: https://www.econbiz.de/10003854421
Saved in:
8
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003807445
Saved in:
9
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003818473
Saved in:
10
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
Saved in:
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