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subject:"Probability theory"
subject:"Time series analysis"
~person:"Shephard, Neil G."
~subject:"ARCH model"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Estimation theory"
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Probability theory
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Estimation theory
44
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13
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12
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Shephard, Neil G.
Phillips, Peter C. B.
96
Gao, Jiti
77
Koopman, Siem Jan
60
Teräsvirta, Timo
45
Johansen, Søren
43
Linton, Oliver
43
Lütkepohl, Helmut
42
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41
Nielsen, Morten Ørregaard
40
Kapetanios, George
36
Pesaran, M. Hashem
35
Engle, Robert F.
34
Zakoïan, Jean-Michel
32
Francq, Christian
31
Harvey, Andrew C.
29
Koop, Gary
29
Stock, James H.
29
Swanson, Norman R.
29
Li, Degui
28
McAleer, Michael
28
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27
Rahbek, Anders
27
Schorfheide, Frank
27
Sibbertsen, Philipp
27
Nelson, Daniel B.
26
Robinson, Peter M.
26
Taylor, Robert
26
Gouriéroux, Christian
25
Perron, Pierre
25
Watson, Mark W.
25
Xiao, Zhijie
25
Bauwens, Luc
24
Kristensen, Dennis
24
Maravall Herrero, Agustín
24
Brännäs, Kurt
23
Cavaliere, Giuseppe
23
Leybourne, Stephen James
23
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23
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Journal of econometrics
5
Department of Economics discussion paper series / University of Oxford
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3
Suntory Toyota International Centre for Economics and Related Disciplines
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ECONIS (ZBW)
23
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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
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:
3
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:
4
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531527
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
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003807446
Saved in:
10
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:
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