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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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Martingale unobserved component models
Shephard, Neil G. - 2013
Persistent link: https://www.econbiz.de/10009747434
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Martingale unobserved component models
Shephard, Neil G. - 2013
Persistent link: https://www.econbiz.de/10009732804
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Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - In: The econometrics journal 2 (1999) 1, pp. 107-160
Persistent link: https://www.econbiz.de/10001449270
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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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Deletion diagnostics and transformations for time series
Atkinson, Anthony C.; Shephard, Neil G. - 1992
Persistent link: https://www.econbiz.de/10000839002
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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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Deletion diagnostics for transformations of time series
Atkinson, Anthony C. - In: Journal of forecasting 15 (1996) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10001191686
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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