Narrow search
Showing 1 - 8 of 8
Cover Image
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
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2011
Persistent link: https://www.econbiz.de/10009231692
Cover Image
Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011
Persistent link: https://www.econbiz.de/10008842201
Cover Image
Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009531527
Cover Image
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
Cover Image
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - 2013
Persistent link: https://www.econbiz.de/10009732799
Cover Image
Fitting vast dimensional time-varying covariance models
Engle, Robert F.; Shephard, Neil G.; Sheppard, Kevin - 2008
Persistent link: https://www.econbiz.de/10003818564
Cover Image
Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil G.; Sheppard, Kevin - 2009
Persistent link: https://www.econbiz.de/10003875108