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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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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
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Exact score for time series models in state space form
Koopman, Siem Jan; Shephard, Neil G. - 1992
Persistent link: https://www.econbiz.de/10000837992
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A local scale model : an unobserved component alternative to integrated garch processes
Shephard, Neil G. - 1990
Persistent link: https://www.econbiz.de/10000804115
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The econometrics of stochastic volatility
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000865088
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Estimation and testing of stochastic variance models
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000868273
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Stochastic volatility : likelihood inference and comparison with ARCH models
Kim, Sangjoon; Shephard, Neil G.; Chib, Siddhartha - 1997
Persistent link: https://www.econbiz.de/10000932608
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Dynamics of trade-by-trade price movements : decomposition and models
Rydberg, Tina Hviid; Shephard, Neil G. - 1998
Persistent link: https://www.econbiz.de/10001369502
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Stochastic volatility : likelihood inference and comparison with ARCH models
Kim, Sangjoon - In: The review of economic studies 65 (1998) 3, pp. 361-393
Persistent link: https://www.econbiz.de/10001244376
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Multivariate stochastic variance models
Harvey, Andrew C. - In: The review of economic studies 61 (1994) 2, pp. 247-264
Persistent link: https://www.econbiz.de/10001160740