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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...
Persistent link: https://www.econbiz.de/10005730265
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Estimating quadratic variation using realised volatility
Barndorff-Nielsen, Ole E.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001
This paper looks at some recent work on estimating quadratic variation using realised volatility (RV) - that is sums of M squared returns. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent estimator of quadratic variation (QV). We express...
Persistent link: https://www.econbiz.de/10005730382
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Power and bipower variation with stochastic volatility and jumps : discussion
Andersen, Torben; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10002575826
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Stoachastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003818421
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Stochastic volatility: origins and overview
Shephard, Neil G.; Andersen, Torben - In: Handbook of financial time series, (pp. 233-254). 2009
Persistent link: https://www.econbiz.de/10003833953
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Stochastic volatility : origins and overview
Shephard, Neil G.; Andersen, Torben - 2008
Persistent link: https://www.econbiz.de/10003807435
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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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Stochastic volatility
Shephard, Neil G. (contributor) - 2005
Persistent link: https://www.econbiz.de/10003067547
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Likelihood-based estimation of latent generalised ARCH structures
Shephard, Neil; Sentana, Gabriele Fiorentini Enrique - Department of Economics, Oxford University - 2002
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...
Persistent link: https://www.econbiz.de/10010820306
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - London School of Economics (LSE) - 2003
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...
Persistent link: https://www.econbiz.de/10010884643