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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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6,877

CITATIONS
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368

Scholarly Papers (9)

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1.

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Downloads 1,225 ( 13,800)
Citation 144

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 - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 1,225 (13,526)
Citation 144

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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 - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics

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

2.

Fitting Vast Dimensional Time-Varying Covariance Models

Downloads 983 ( 19,319)
Citation 32

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 16 Sep 2017
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 - Leonard N. Stern School of Business - Department of Economics
Downloads 666 (33,055)
Citation 32

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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 - Leonard N. Stern School of Business - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 317 (83,555)
Citation 28

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3.

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

Downloads 770 ( 27,533)
Citation 164

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 - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 401 (63,442)
Citation 158

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Dynamic Correlation, Multivariate GARCH, Volatility

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NBER Working Paper No. w8554
Number of pages: 44 Posted: 18 Oct 2001
Kevin Sheppard and Robert F. Engle
University of Oxford - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 291 (91,948)
Citation 164

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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 - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 78 (280,949)
Citation 158

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4.

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 568 (23,487)
Citation 2

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

5.

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 414 (19,201)

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

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 394 (34,712)
Citation 1

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realized variance, volatility forecasting, high frequency data

7.

Ambiguity and the Historical Equity Premium

Downloads 348 ( 75,638)
Citation 13

Ambiguity and the Historical Equity Premium

Number of pages: 45 Posted: 16 May 2011
Fabrice Collard, Sujoy Mukerji, Kevin Sheppard and J.-Marc Tallon
University of Berne - Department of Economics, University of Oxford - Department of Economics, University of Oxford - Department of Economics and Paris School of Economics
Downloads 284 (94,468)
Citation 13

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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 J.-Marc Tallon
University of Oxford - Department of Economics, University of Berne - Department of Economics, University of Oxford - Department of Economics and Paris School of Economics
Downloads 64 (314,414)
Citation 13

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Ambiguity version, asset pricing, equity premium puzzle

8.

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 326 (29,944)
Citation 11

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

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 216 (80,660)
Citation 1

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