Shephard, Neil
Shephard, Neil, 1964-
Shephard, Neil G., 1964-
Neil Shephard British economist
Neil Shephard
Shephard, N. (Neil)
VIAF ID: 73784991 ( Personal )
Permalink: http://viaf.org/viaf/73784991
Preferred Forms
- 100 0 _ ‡a Neil Shephard
- 100 0 _ ‡a Neil Shephard ‡c British economist
- 200 _ | ‡a Shephard ‡b Neil ‡f 1964-....
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- 100 1 _ ‡a Shephard, Neil
- 100 1 _ ‡a Shephard, Neil
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- 100 1 _ ‡a Shephard, Neil (sparse)
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- 100 1 _ ‡a Shephard, Neil G. ‡d 1964-
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- 100 1 _ ‡a Shephard, Neil ‡d 1964-
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4xx's: Alternate Name Forms (18)
5xx's: Related Names (1)
Works
Title | Sources |
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A central limit theorem for realised power and bipower variations of continuous semimartingales | |
Cointegration and dynamics in economics | |
Detecting shocks : outliers and breaks in time series | |
Dynamics of trade-by-trade price movements | |
Econometric analysis of realised covariation | |
Econometrics of testing for jumps in financial economics using bipower variation | |
Estimating quadratic variation using realised variance | |
Impact of jumps on returns and realised variances | |
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form | |
Integrated OU processes | |
Limit theorems for multipower variation in the presence of jumbs | |
methodology and practice of econometrics a festschrift in honour of David F. Hendry | |
Modelling by Lévy processes for financial econometrics | |
Non-Gaussian OU based models and some of their uses in financial economics | |
Normal modified stable processes | |
Realised power variation and stochastic volatility models | |
State space and unobserved component models : theory and applications | |
Statistical algorithms for models in state space form : SsfPack 3.0 | |
Time change and universality in turbulence and finance | |
Unobserved components & time series econometrics |