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Sheppard, Kevin's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,976 |
Total
Citations
373 |
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1.
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Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
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Cappiello, Lorenzo
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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Posted:
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04 Feb 03
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Last Revised:
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29 Jul 10
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1,114
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144
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Cappiello, Lorenzo
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting
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Cappiello, Lorenzo
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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1,114
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144
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International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation
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2.
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Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
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Sheppard, Kevin
University of Oxford - Department of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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Posted:
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18 Oct 01
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Last Revised:
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29 Dec 08
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567
(21,525)
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163
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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253
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157
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Dynamic Correlation, Multivariate GARCH, Volatility
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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66
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157
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Sheppard, Kevin
University of Oxford - Department of Economics Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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248
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163
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3.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Shephard, Neil
University of Oxford - Oxford-Man Institute Sheppard, Kevin
University of Oxford - Department of Economics
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372
(37,199)
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29
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4.
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Noureldin, Diaa
University of Oxford - Department of Economics Shephard, Neil
University of Oxford - Oxford-Man Institute Sheppard, Kevin
University of Oxford - Department of Economics
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330
(43,015)
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RARCH, RCC, multivariate volatility, covariance targeting, common persistence, empirical Bayes, predictive likelihood
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5.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Shephard, Neil
University of Oxford - Oxford-Man Institute Sheppard, Kevin
University of Oxford - Department of Economics
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192
(77,719)
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25
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6.
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Ambiguity and the Historical Equity Premium
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Versions (2)
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Collard, Fabrice
University of Berne - Department of Economics Mukerji, Sujoy
University of Oxford - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics Tallon, J.-Marc
French National Center for Scientific Research (CNRS)
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Posted:
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16 May 11
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Last Revised:
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19 May 11
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172
(86,304)
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9
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Mukerji, Sujoy
University of Oxford - Department of Economics Collard, Fabrice
University of Berne - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics Tallon, J.-Marc
French National Center for Scientific Research (CNRS)
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47
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9
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Ambiguity version, asset pricing, equity premium puzzle
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Collard, Fabrice
University of Berne - Department of Economics Mukerji, Sujoy
University of Oxford - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics Tallon, J.-Marc
French National Center for Scientific Research (CNRS)
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125
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9
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Ambiguity Aversion, Asset pricing, Equity premium puzzle
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7.
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Mykland, Per A.
University of Chicago - Department of Statistics Shephard, Neil
University of Oxford - Oxford-Man Institute Sheppard, Kevin
University of Oxford - Department of Economics
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122
(116,255)
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bipower variation, jumps, market microstructure noise, multipower variation, non-parametric analysis, quadratic variation, semimartingale, volatility, volatility of volatility
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8.
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Liu, Lily Y.
Duke University Patton, Andrew J.
Duke University - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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107
(128,677)
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3
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realized variance, volatility forecasting, high frequency data
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9.
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Sheppard, Kevin
University of Oxford - Department of Economics Patton, Andrew J.
Duke University - Department of Economics
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realized variance, semivariance, volatility forecasting, jumps, leverage effect
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