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Shephard, Neil's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
6,400 |
Total
Citations
346 |
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1.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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18 Nov 04
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Last Revised:
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06 Apr 08
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1,200
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87
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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling
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2.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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02 Jul 08
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Last Revised:
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14 Jul 10
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687
(16,421)
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22
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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance
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3.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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671
(17,021)
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26
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HAC estimator, Long run variance estimator, Market frictions, Quadratic variation
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4.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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581
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32
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5.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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449
(29,326)
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69
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Power variation, Realised correlation, Realised covolatility, Realised regression, Realised variance, Semimartingales, Covolatility.
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6.
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Rydberg, Tina Hviid
University of Oxford Shephard, Neil
University of Oxford - Oxford-Man Institute
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442
(29,921)
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7
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7.
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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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373
(37,213)
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29
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8.
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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
(43,030)
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RARCH, RCC, multivariate volatility, covariance targeting, common persistence, empirical Bayes, predictive likelihood
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9.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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329
(43,194)
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9
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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling
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10.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Kinnebrock, Silja
University of Oxford Shephard, Neil
University of Oxford - Oxford-Man Institute
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325
(43,783)
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6
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Market frictions, Quadratic variation, Realised variance, Semimartingale, Semivariance
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11.
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Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Shephard, Neil
University of Oxford - Oxford-Man Institute Rydberg, Tina Hviid
University of Oxford
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Posted:
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30 May 02
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Last Revised:
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29 Jul 10
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243
(60,932)
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26
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Shephard, Neil
University of Oxford - Oxford-Man Institute Rydberg, Tina Hviid
University of Oxford
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0
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activity, decompostition, directions, GLARMA, size, transactions data
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Rydberg, Tina Hviid
University of Oxford Shephard, Neil
University of Oxford - Oxford-Man Institute
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243
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26
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12.
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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
(77,739)
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25
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13.
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Rydberg, Tina Hviid
University of Oxford Shephard, Neil
University of Oxford - Oxford-Man Institute
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172
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1
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14.
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Shephard, Neil
University of Oxford - Oxford-Man Institute Xiu, Dacheng
University of Chicago - Booth School of Business
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26 Apr 12
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Last Revised:
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11 Nov 12
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139
(104,413)
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EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, portfolio optimization, quadratic variation, quasi-likelihood, semimartingale, volatility
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15.
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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
(116,289)
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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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16.
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Bos, Charles S.
VU University Amsterdam Shephard, Neil
University of Oxford - Oxford-Man Institute
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108
(127,843)
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3
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Markov chain Monte Carlo, particle filter, cubic spline, state space form, stochastic volatility
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17.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute Veraart, Almut
Imperial College London
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34
(232,839)
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Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change
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18.
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Shephard, Neil
University of Oxford - Oxford-Man Institute
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2
(335,455)
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19.
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Bec, Frédérique
National Institute of Statistics and Economic Studies (INSEE) Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Shephard, Neil
University of Oxford - Oxford-Man Institute
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1
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4
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20.
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Saba , A.
affiliation not provided to SSRN Vassallo, Marco
affiliation not provided to SSRN Shephard, Neil
University of Oxford - Oxford-Man Institute Lampila, Piritta
affiliation not provided to SSRN Arvola, Anne
VTT Technical Research Centre of Finland Dean, Moira
affiliation not provided to SSRN Winkelmann, Markus
affiliation not provided to SSRN Claupein, Erika
affiliation not provided to SSRN Lähteenmäki, Liisa
University of Aarhus - Department of Marketing and Statistics
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21 Mar 10
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Last Revised:
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16 Jan 11
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Perceived healthiness, Likelihood to buy, Health-related messages, Conjoint analysis, Cereal-based products, Country-wise study
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21.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Hansen, Peter Reinhard
European University Institute - Economics Department (ECO) Lunde, Asger
CREATES Shephard, Neil
University of Oxford - Oxford-Man Institute
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HAC estimator, Long run variance estimator, Market frictions, Quadratic
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22.
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Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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Posted:
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04 Nov 03
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Last Revised:
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29 Jul 10
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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0
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bipower variation, jump process, quadratic variation, realized variance, semimartingales, stochastic volatility
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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0
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Bipower variation, Jump process, Quadratic variation, Realised variance, Semimartingales, Stochastic volatility
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23.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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24.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Graversen, Svend Erik
University of Aarhus - Department of Mathematical Sciences Jacod, Jean
Université Paris VI Pierre et Marie Curie Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics Shephard, Neil
University of Oxford - Oxford-Man Institute
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Central limit theorem, quadratic variation, bipower variation
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25.
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Omori, Yasuhiro
University of Tokyo Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School Shephard, Neil
University of Oxford - Oxford-Man Institute Nakajima, Jouchi
University of Tokyo
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Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns
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26.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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Euler approximation, Functional central limit theory, Quadratic variation, Realised volatility, Stochastic volatility
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27.
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Power and Bipower Variation with Stochastic Volatility and Jumps
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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Posted:
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25 Jun 03
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Last Revised:
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29 Jul 10
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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0
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bipower variation, integrated variance, jump process, power variation, quadratic variation, realized variance, realized volatility, semimartingale, volatility
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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0
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Bipower variation, Integrated variance, Jump process, Power variation, Quadratic variation, Realised variance, Realised volatility, Semimartingale, Volatility
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28.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute Graversen, Svend Erik
University of Aarhus - Department of Mathematical Sciences
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Bipower, Mixed Gaussian limit, Power variation, Quadratic variation, Realised variance, Realised volatility, Stochastic volatility
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29.
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Fiorentini, Gabriele
Universita di Firenze - Dipartimento di Statistica Sentana, Enrique
Centro de Estudios Monetarios y Financieros (CEMFI) Shephard, Neil
University of Oxford - Oxford-Man Institute
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Bayesian inference, Dynamic heteroskedasticity, Factor models, Makov chain Monte Carlo, Simulated EM algorithm, Volatility
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30.
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Koopman, Siem Jan
VU University Amsterdam Shephard, Neil
University of Oxford - Oxford-Man Institute
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Extreme value theory, Importance sampling, Simulation, Stochastic Volatility
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31.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Shephard, Neil
University of Oxford - Oxford-Man Institute
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Cointegration, Equilibrium correction model, GARCH, Hidden Markov model, Likelihood, Regime switching, STAR model, Stochastic break, Stochastic unit root, Switching regression, Real Exchange Rate, PPP, Unit root hypothesis
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32.
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Shephard, Neil
University of Oxford - Oxford-Man Institute Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
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Absolute returns, Mixed asymptotic normality, Realised volatility, p-variation, Quadratic variation
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33.
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Shephard, Neil
University of Oxford - Oxford-Man Institute Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
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Background driving Levy process; Chronometer; Co-break; Econometrics; Integrated volatility; Kumulant function; Levy density; Levy process; Option pricing; OU processes; Stochastic volatility.
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34.
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Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School Shephard, Neil
University of Oxford - Oxford-Man Institute Nardari, Federico
University of Houston - Department of Finance
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Bayes factor, Markov chain monte carlo, marginal likelihood, mixture models, particle filters, simulation based inference, stochastic volatility
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35.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Shephard, Neil
University of Oxford - Oxford-Man Institute
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36.
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Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School Nardari, Federico
University of Houston - Department of Finance Shephard, Neil
University of Oxford - Oxford-Man Institute
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37.
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Manrique, Aurora
University of Salamanca Shephard, Neil
University of Oxford - Oxford-Man Institute
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38.
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Nielsen, Bent
University of Oxford - Department of Economics Shephard, Neil
University of Oxford - Oxford-Man Institute
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39.
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Kim, Sangjoon
affiliation not provided to SSRN Shephard, Neil
University of Oxford - Oxford-Man Institute Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School
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