The following pages link to Neil Shephard (Q278180):
Displaying 50 items.
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Testing the assumptions behind importance sampling (Q302094) (← links)
- (Q451248) (redirect page) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Subsampling realised kernels (Q737277) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Local scale models. State space alternative to integraded GARCH processes (Q1318993) (← links)
- (Q1371378) (redirect page) (← links)
- Detecting shocks: Outliers and breaks in time series (Q1371379) (← links)
- Realized power variation and stochastic volatility models (Q1395938) (← links)
- Realized power variation and stochastic volatility model (Q1431540) (← links)
- Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- Limit theorems for multipower variation in the presence of jumps (Q2495383) (← links)
- Multivariate rotated ARCH models (Q2512636) (← links)
- (Q2712145) (← links)
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (Q2729107) (← links)
- (Q2738733) (← links)
- (Q2753037) (← links)
- Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
- Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (Q2922163) (← links)
- Likelihood Inference for Exponential-Trawl Processes (Q2956055) (← links)
- (Q3074773) (← links)
- (Q3099630) (← links)
- BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS (Q3100976) (← links)
- Moment Conditions and Bayesian Non-Parametrics (Q3120099) (← links)
- (Q3374316) (← links)
- (Q3374324) (← links)
- Panel experiments and dynamic causal effects: A finite population perspective (Q3390403) (← links)
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (Q3408516) (← links)
- (Q3498090) (← links)
- (Q3511640) (← links)
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513) (← links)
- Stochastic Volatility: Origins and Overview (Q3646956) (← links)
- Realized kernels in practice: trades and quotes (Q3653354) (← links)
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (Q4219769) (← links)
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models (Q4258766) (← links)
- Partial non-Gaussian state space (Q4299487) (← links)
- Likelihood analysis of non-Gaussian measurement time series (Q4364933) (← links)
- (Q4431597) (← links)
- (Q4510988) (← links)
- Likelihood Inference for Discretely Observed Nonlinear Diffusions (Q4531026) (← links)
- Filtering via Simulation: Auxiliary Particle Filters (Q4541234) (← links)
- Some recent developments in stochastic volatility modelling (Q4646765) (← links)
- Computationally intensive econometrics using a distributed matrix-programming language (Q4661624) (← links)
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770) (← links)
- Statistical algorithms for models in state space using SsfPack 2.2 (Q4705831) (← links)
- (Q4791405) (← links)
- Power variation and stochastic volatility: a review and some new results (Q4822456) (← links)
