Narrow search
Showing 1 - 10 of 27
Cover Image
Theory and Methods - Filtering via Simulation: Auxiliary Particle Filters
Pitt, Michael K.; Shephard, Neil - In: Journal of the American Statistical Association : JASA 94 (1999) 446, pp. 590-599
Persistent link: https://www.econbiz.de/10006626716
Cover Image
Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
Shephard, Neil - In: Journal of the American Statistical Association : JASA 88 (1993) 422, pp. 590-595
Persistent link: https://www.econbiz.de/10006638857
Cover Image
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of econometrics 131 (2006) 1, pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
Cover Image
Likelihood-Based Estimation of Latent Generalized ARCH Structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1481-1518
Persistent link: https://www.econbiz.de/10006755901
Cover Image
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 3, pp. 885-926
Persistent link: https://www.econbiz.de/10006757323
Cover Image
The 2001 JBES Invited Paper - Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion
Chib, Siddhartha; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 325-326
Persistent link: https://www.econbiz.de/10008216274
Cover Image
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
Harvey, Andrew C.; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10008220742
Cover Image
The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 179-180
Persistent link: https://www.econbiz.de/10008222689
Cover Image
Comment - Bayesian Analysis of Stochastic Volatility Models
Shephard, Neil; Kim, Sangjoon - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 406-409
Persistent link: https://www.econbiz.de/10008224417
Cover Image
Likelihood Inference for Discretely Observed Nonlinear Diffusions
Elerian, Ola; Chib, Siddhartha; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 4, pp. 959-994
Persistent link: https://www.econbiz.de/10006773355