Shelton Peiris

The University of Sydney

Professor

Sydney, New South Wales 2006

Australia

SCHOLARLY PAPERS

5

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769

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Scholarly Papers (5)

1.

An Examination of the Role of Time and its Impact on Price Revision

ECU Working Paper Series
Number of pages: 23
Shelton Peiris, David E. Allen and Wenling Joey Yang
The University of Sydney, School of Mathematics and Statistics, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 427 (65,984)

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Autoregressive, Conditional expectation, Intensity, Hazard func-tion, Stochastic process, Prediction, Estimation, Irregular data, Transaction data, Finance, Mid-quote price, Trade indicators, Autocorrelations, Volatility

2.

An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock

Edith Cowan University Accounting, Finance and Economics Working Paper
Number of pages: 23 Posted: 09 Apr 2004
David E. Allen, Shelton Peiris and Wenling Joey Yang
School of Mathematics and Statistics, The University of Sydney, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 171 (171,791)

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Autoregressive, Conditional expectation, Intensity, Hazard function

3.

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Tinbergen Institute Discussion Paper 2017-105/III
Number of pages: 27 Posted: 06 Nov 2017
Manabu Asai, Michael McAleer and Shelton Peiris
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Sydney
Downloads 104 (253,611)

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Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Polynomial, Seasonality, Whittle Likelihood

4.

Deviance Critical Values for Finite Sample Size When Testing the Reduction of Gaussian AR(1)-(G)ARCH(1,1) to Random Walk: Results from MATLAB vs. R-Project

Number of pages: 20 Posted: 05 Apr 2011
Ian Gregory and Shelton Peiris
The University of Sydney - School of Mathematics and Statistics and The University of Sydney
Downloads 41 (412,863)

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5.

A Note on the Filtering for Some Time Series Models

Journal of Time Series Analysis, Vol. 25, No. 3, pp. 397-407, May 2004
Number of pages: 11 Posted: 04 Jul 2004
Shelton Peiris and A. Thavaneswaran
The University of Sydney and University of Manitoba
Downloads 26 (478,559)
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