دنبال کردن
Neil Shephard
Neil Shephard
Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University
ایمیل تأیید شده در fas.harvard.edu - صفحهٔ اصلی
عنوان
نقل شده توسط
نقل شده توسط
سال
Filtering via simulation: Auxiliary particle filters‏
MK Pitt, N Shephard‏
Journal of the American statistical association 94 (446), 590-599, 1999‏
35621999
Stochastic volatility: likelihood inference and comparison with ARCH models‏
S Kim, N Shephard, S Chib‏
The review of economic studies 65 (3), 361-393, 1998‏
32781998
Econometric analysis of realized volatility and its use in estimating stochastic volatility models‏
OE Barndorff-Nielsen, N Shephard‏
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2002‏
28502002
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics‏
OE Barndorff‐Nielsen, N Shephard‏
Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2001‏
26152001
Power and bipower variation with stochastic volatility and jumps‏
OE Barndorff-Nielsen, N Shephard‏
Journal of financial econometrics 2 (1), 1-37, 2004‏
25522004
Multivariate stochastic variance models‏
A Harvey, E Ruiz, N Shephard‏
The Review of Economic Studies 61 (2), 247-264, 1994‏
21211994
Econometrics of testing for jumps in financial economics using bipower variation‏
OE Barndorff-Nielsen, N Shephard‏
Journal of financial Econometrics 4 (1), 1-30, 2006‏
17362006
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise‏
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard‏
Econometrica 76 (6), 1481-1536, 2008‏
16832008
Statistical aspects of ARCH and stochastic volatility‏
N Shephard‏
Time series models, 1-68, 2020‏
13162020
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics‏
OE Barndorff‐Nielsen, N Shephard‏
Econometrica 72 (3), 885-925, 2004‏
11462004
STAMP 6.0: Structural time series analyser, modeller and predictor‏
SJ Koopman, AC Harvey, JA Doornik, N Shephard‏
London: Timberlake Consultants, 2000‏
10612000
Likelihood analysis of non-Gaussian measurement time series‏
N Shephard, MK Pitt‏
Biometrika 84 (3), 653-667, 1997‏
9461997
Realized kernels in practice: Trades and quotes‏
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard‏
The Econometrics Journal 12 (3), C1-C32, 2009‏
8902009
Markov chain Monte Carlo methods for stochastic volatility models‏
S Chib, F Nardari, N Shephard‏
Journal of Econometrics 108 (2), 281-316, 2002‏
8412002
Estimating quadratic variation using realized variance‏
OE Barndorff‐Nielsen, N Shephard‏
Journal of Applied econometrics 17 (5), 457-477, 2002‏
8112002
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading‏
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard‏
Journal of Econometrics 162 (2), 149-169, 2011‏
7822011
The simulation smoother for time series models‏
P De Jong, N Shephard‏
Biometrika 82 (2), 339-350, 1995‏
7771995
Stochastic volatility: selected readings‏
N Shephard‏
OUP Oxford, 2005‏
7612005
Statistical algorithms for models in state space using SsfPack 2.2‏
SJ Koopman, N Shephard, JA Doornik‏
The Econometrics Journal 2 (1), 107-160, 1999‏
6881999
Likelihood inference for discretely observed nonlinear diffusions‏
O Elerian, S Chib, N Shephard‏
Econometrica 69 (4), 959-993, 2001‏
6792001
سیستم در حال حاضر قادر به انجام عملکرد نیست. بعداً دوباره امتحان کنید.
مقاله‌ها 1–20