Neil Shephard

Получаване на мой собствен потребителски профил

Позовавания

	Всички	От 2018
Позовавания	43245	12363
h-индекс	70	47
i10-индекс	143	93

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Публичен достъп

Преглед на всички

8 статии

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Въз основа на изисквания при финансирането

Съавтори

Siddhartha ChibHarry C Hartkopf Professor of Econometrics and StatisticsПотвърден имейл адрес: wustl.edu
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamПотвърден имейл адрес: vu.nl
M PittKing's College LondonПотвърден имейл адрес: kcl.ac.uk
Asger LundePartner, Copenhagen EconomicsПотвърден имейл адрес: copenhageneconomics.com
Peter HansenHenry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & VisitingПотвърден имейл адрес: unc.edu
Kevin SheppardUniversity Lecturer, University of OxfordПотвърден имейл адрес: economics.ox.ac.uk
ESTHER RUIZ ORTEGAUniversidad Carlos III de MadridПотвърден имейл адрес: est-econ.uc3m.es
anna vignolesThe Leverhulme TrustПотвърден имейл адрес: leverhulme.ac.uk
Robert EngleNew York UniversityПотвърден имейл адрес: stern.nyu.edu
Anders RahbekProfessor, University of CopenhagenПотвърден имейл адрес: econ.ku.dk
Bent NielsenNuffield College & Department of Economics, Oxford & Programme on Economic Modelling, INET, OxfordПотвърден имейл адрес: nuffield.ox.ac.uk
David F HendrySenior Research Fellow, Nuffield College, Oxford UniversityПотвърден имейл адрес: nuffield.ox.ac.uk
Cavit PakelAssistant Professor of Economics, Bilkent ; Visiting Assistant Professor, University of OxfordПотвърден имейл адрес: bilkent.edu.tr
Mark PodolskijProfessor of Probability and Statistics, University of LuxembourgПотвърден имейл адрес: uni.lu
Per MyklandRobert M. Hutchins Professor of Statistics and Finance, The University of ChicagoПотвърден имейл адрес: pascal.uchicago.edu
Almut VeraartImperial College LondonПотвърден имейл адрес: imperial.ac.uk
Dacheng Xiu (修大成)University of Chicago Booth School of BusinessПотвърден имейл адрес: chicagobooth.edu
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityПотвърден имейл адрес: northwestern.edu
Luke BornnCo-Founder and Chief Scientist, Zelus AnalyticsПотвърден имейл адрес: stat.harvard.edu
Arnaud DoucetProfessor of Statistics, University of Oxford & Research Scientist, Google DeepMindПотвърден имейл адрес: stats.ox.ac.uk

Следене

Neil Shephard

Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University

Потвърден имейл адрес: fas.harvard.edu - Начална страница

Econometrics economics statistics financial econometrics finance


Заглавие Сортиране по цитати Сортиране по година Сортиране по заглавие	Позовавания Позовавания	Година
Filtering via simulation: Auxiliary particle filters MK Pitt, N Shephard Journal of the American statistical association 94 (446), 590-599, 1999	3447	1999
Stochastic volatility: likelihood inference and comparison with ARCH models S Kim, N Shephard, S Chib The review of economic studies 65 (3), 361-393, 1998	3117	1998
Econometric analysis of realized volatility and its use in estimating stochastic volatility models OE Barndorff-Nielsen, N Shephard Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2002	2709	2002
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics OE Barndorff‐Nielsen, N Shephard Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2001	2510	2001
Power and bipower variation with stochastic volatility and jumps OE Barndorff-Nielsen, N Shephard Journal of financial econometrics 2 (1), 1-37, 2004	2426	2004
Multivariate stochastic variance models A Harvey, E Ruiz, N Shephard The Review of Economic Studies 61 (2), 247-264, 1994	2028	1994
Econometrics of testing for jumps in financial economics using bipower variation OE Barndorff-Nielsen, N Shephard Journal of financial Econometrics 4 (1), 1-30, 2006	1654	2006
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard Econometrica 76 (6), 1481-1536, 2008	1605	2008
Statistical aspects of ARCH and stochastic volatility N Shephard Time series models, 1-68, 2020	1294	2020
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics OE Barndorff‐Nielsen, N Shephard Econometrica 72 (3), 885-925, 2004	1072	2004
STAMP 6.0: Structural time series analyser, modeller and predictor SJ Koopman, AC Harvey, JA Doornik, N Shephard London: Timberlake Consultants, 2000	1048	2000
Likelihood analysis of non-Gaussian measurement time series N Shephard, MK Pitt Biometrika 84 (3), 653-667, 1997	917	1997
Realized kernels in practice: Trades and quotes OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard The Econometrics Journal 12 (3), C1-C32, 2009	826	2009
Markov chain Monte Carlo methods for stochastic volatility models S Chib, F Nardari, N Shephard Journal of Econometrics 108 (2), 281-316, 2002	822	2002
Estimating quadratic variation using realized variance OE Barndorff‐Nielsen, N Shephard Journal of Applied econometrics 17 (5), 457-477, 2002	779	2002
The simulation smoother for time series models P De Jong, N Shephard Biometrika 82 (2), 339-350, 1995	744	1995
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 162 (2), 149-169, 2011	741	2011
Statistical algorithms for models in state space using SsfPack 2.2 SJ Koopman, N Shephard, JA Doornik The Econometrics Journal 2 (1), 107-160, 1999	689	1999
Stochastic volatility: selected readings N Shephard OUP Oxford, 2005	660	2005
Estimation of an asymmetric stochastic volatility model for asset returns AC Harvey, N Shephard Journal of Business & Economic Statistics 14 (4), 429-434, 1996	655	1996

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