Kevin Sheppard

University of Oxford - Department of Economics

Manor Road Building

Manor Road

Oxford, OX1 3BJ

United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance

University Lecturer

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

http://www.oxford-man.ox.ac.uk

  • University of Oxford - Department of Economics

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

    • Email
    • Tel: +44 1865 616 613
SCHOLARLY PAPERS

9

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264

CROSSREF CITATIONS

358

Scholarly Papers (9)

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1.

Fitting Vast Dimensional Time-Varying Covariance Models

Downloads 1,389 ( 19,936)
Citation 17

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009
Number of pages: 35 Posted: 09 Mar 2009 Last Revised: 07 Oct 2019
Cavit Pakel, Neil Shephard, Kevin Sheppard and Robert F. Engle
Bilkent University - Department of Economics, Harvard University, University of Oxford - Department of Economics and New York University (NYU) - Department of Finance
Downloads 1,015 (31,111)
Citation 11

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Composite likelihood, dynamic conditional correlations, multivariate ARCH models, volatility

Fitting and Testing Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-07-046
Number of pages: 28 Posted: 03 Nov 2008
Robert F. Engle, Neil Shephard and Kevin Sheppard
New York University (NYU) - Department of Finance, Harvard University and University of Oxford - Department of Economics
Downloads 374 (111,827)

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2.

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Downloads 1,344 ( 20,943)
Citation 32

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

ECB Working Paper No. 204
Number of pages: 66 Posted: 04 Feb 2003
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 1,344 (20,597)
Citation 32

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International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 537-572, 2006
Posted: 02 Apr 2008
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University (NYU) - Department of Finance and University of Oxford - Department of Economics

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dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting

3.

Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Kevin Sheppard and Wen Xu
University of Oxford - Department of Economics and Capital University of Economics and Business-International School of Economics and Management
Downloads 1,291 (22,257)
Citation 13

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Conditional Beta, Conditional Covariance, Forecasting, HEAVY, Marginal Expected Shortfall, Realized Covariance, Realized Kernel, Systematic Risk

4.

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

Downloads 1,066 ( 29,420)
Citation 61

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NBER Working Paper No. w8554
Number of pages: 44 Posted: 18 Oct 2001 Last Revised: 18 May 2022
Kevin Sheppard and Robert F. Engle
University of Oxford - Department of Economics and New York University (NYU) - Department of Finance
Downloads 511 (77,454)
Citation 18

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Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NYU Working Paper No. S-DRP-01-10
Number of pages: 43 Posted: 07 Nov 2008
Robert F. Engle and Kevin Sheppard
New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 462 (87,568)
Citation 5

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Dynamic Correlation, Multivariate GARCH, Volatility

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NYU Working Paper No. FIN-01-027
Number of pages: 43 Posted: 03 Nov 2008
Robert F. Engle and Kevin Sheppard
New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 93 (383,403)

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5.

Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Diaa Noureldin, Neil Shephard and Kevin Sheppard
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 952 (34,576)
Citation 2

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RARCH; RBEKK; RDCC; multivariate volatility; covariance targeting; common persistence

6.

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Number of pages: 50 Posted: 13 Feb 2013
Lily Y. Liu, Andrew J. Patton and Kevin Sheppard
Duke University, Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 935 (35,456)
Citation 54

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realized variance, volatility forecasting, high frequency data

7.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of pages: 63 Posted: 15 Oct 2011 Last Revised: 18 Nov 2013
Andrew J. Patton and Kevin Sheppard
Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 925 (35,998)
Citation 76

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realized variance, semivariance, volatility forecasting, jumps, leverage effect

8.

Ambiguity and the Historical Equity Premium

Downloads 395 (105,908)
Citation 19

Ambiguity and the Historical Equity Premium

Number of pages: 45 Posted: 16 May 2011
Fabrice Collard, Sujoy Mukerji, Kevin Sheppard and Jean-Marc Tallon
University of Berne - Department of Economics, Queen Mary University of London, University of Oxford - Department of Economics and Paris School of Economics
Downloads 309 (137,807)
Citation 17

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Ambiguity Aversion, Asset pricing, Equity premium puzzle

Ambiguity and the Historical Equity Premium

Number of pages: 45 Posted: 19 May 2011
Sujoy Mukerji, Fabrice Collard, Kevin Sheppard and Jean-Marc Tallon
Queen Mary University of London, University of Berne - Department of Economics, University of Oxford - Department of Economics and Paris School of Economics
Downloads 86 (402,712)
Citation 10

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Ambiguity version, asset pricing, equity premium puzzle

9.

Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation

Number of pages: 44 Posted: 21 Feb 2012
Per A. Mykland, Neil Shephard and Kevin Sheppard
University of Chicago - Department of Statistics, Harvard University and University of Oxford - Department of Economics
Downloads 372 (113,324)
Citation 19

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bipower variation, jumps, market microstructure noise, multipower variation, non-parametric analysis, quadratic variation, semimartingale, volatility, volatility of volatility