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Autoregressive Conditional Root Model
Rahbek, Anders; Shephard, Neil - 2002
In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...
Persistent link: https://www.econbiz.de/10014120183
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The Autoregressive Conditional Root (ACR) model
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - 2005
Persistent link: https://www.econbiz.de/10003281526
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The ACR model : a multivariate dynamic mixture autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10003759114
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Stochastic volatility : selected readings
Shephard, Neil G. (contributor); Shephard, Neil G. (ed.) - 2005
Persistent link: https://www.econbiz.de/10001718768
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Statistical aspects of ARCH and stochastic volatility
Shephard, Neil G. - In: Time series models : in econometrics, finance and other …, (pp. 1-67). 1996
Persistent link: https://www.econbiz.de/10001319937
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Distribution of the ML estimator of an MA(1) and a local level model
Shephard, Neil G. - In: Econometric theory 9 (1993) 3, pp. 377-401
Persistent link: https://www.econbiz.de/10001151128
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Stochastic volatility
Shephard, Neil G. (contributor) - 2005
Persistent link: https://www.econbiz.de/10003067547
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Income contingent tuition fees for universities
Shephard, Neil G. - 2009
Persistent link: https://www.econbiz.de/10003898300
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Deferred fees for universities
Shephard, Neil G. - 2010
Persistent link: https://www.econbiz.de/10003972937
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Income contingent tuition fees for universities
Shephard, Neil G. - 2009
Persistent link: https://www.econbiz.de/10003889445