Access Statistics for Neil Shephard

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 4 9 56 158 13 29 114 464
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 1 3 15 76 2 8 28 266
A Feasible Central Limit Theory for Realised Volatility Under Leverage 3 7 15 101 5 15 48 494
A feasible central limit theory for realised volatility under leverage 0 0 7 77 2 3 16 291
Aggregation and Model Construction for Volatility Models 0 0 0 1 5 9 30 768
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models 3 5 14 170 5 8 28 585
Autoregressive conditional root model 2 3 13 168 5 8 58 745
BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time 1 3 29 196 8 18 73 389
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models 4 16 29 29 19 50 103 103
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models 4 5 83 83 10 14 96 96
Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes" 0 0 5 117 2 7 35 500
Computationally-intensive Econometrics using a Distributed Matrix-programming Language 3 3 15 157 8 15 79 726
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 5 11 36 145 7 24 93 304
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 4 11 50 2 8 32 149
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 3 20 53 3 10 52 168
Dynamics of trade-by-trade price movements: decomposition and models 1 3 12 111 3 6 25 225
Dynamics of trade-by-trade price movements: decomposition and models 2 12 34 208 9 32 87 519
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 4 10 57 260 23 49 167 868
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 3 6 28 72 4 10 51 162
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 3 11 41 310 6 15 73 590
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 2 9 33 366 5 23 88 790
Econometrics of testing for jumps in financial economics using bipower variation 1 7 52 223 6 19 103 447
Econometrics of testing for jumps in financial economics using bipower variation 1 3 24 162 5 9 44 301
Estimating quadratic variation using realised volatility 7 11 43 203 18 34 117 603
Filtering via simulation: auxiliary particle filters 2 12 46 626 11 28 134 1,534
Fitting vast dimensional time-varying covariance models 7 23 84 102 14 38 142 150
Fitting vast dimensional time-varying covariance models 3 11 35 80 10 22 74 89
Generalized linear autoregressions 1 3 17 322 4 11 46 759
Higher order variation and stochastic volatility models 0 1 8 71 1 5 18 218
How accurate is the asymptotic approximation to the distribution of realised volatility? 1 4 34 218 5 13 76 733
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 6 8 30 246 7 14 55 456
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 2 7 31 213 4 15 67 486
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form 1 1 6 173 2 2 16 516
Integrated OU Processes 2 5 24 236 4 9 44 567
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 2 12 22 1 4 23 59
Likelihood Analysis of Non-Gaussian Parameter-Driven Models 0 0 0 0 5 15 37 791
Likelihood INference for Discretely Observed Non-linear Diffusions 0 0 0 1 4 11 44 685
Likelihood analysis of non-Gaussian parameter driven models 0 4 15 161 2 13 39 499
Likelihood based inference for diffusion driven models 1 1 8 96 3 6 31 218
Likelihood based inference for diffusion driven models 3 8 26 126 6 14 59 299
Likelihood inference for discretely observed non-linear diffusions 0 2 15 117 3 7 33 301
Likelihood-based estimation of latent generalised ARCH structures 1 3 8 41 3 9 25 169
Likelihood-based estimation of latent generalised ARCH structures 2 3 14 99 3 5 29 228
Likelihood-based estimation of latent generalised ARCH structures 1 4 17 124 4 12 44 361
Limit theorems for bipower variation in financial econometrics 0 0 13 83 1 3 27 198
Limit theorems for bipower variation in financial econometrics 3 7 28 96 8 17 66 230
Limit theorems for multipower variation in the presence of jumps 0 6 29 82 5 25 67 187
Limit theorems for multipower variation in the presence of jumps 0 0 7 35 1 3 22 127
Measuring and forecasting financial variability using realised variance with and without a model 0 3 21 139 8 23 119 604
Measuring downside risk - realised semivariance 4 5 20 68 8 10 67 150
Measuring downside risk - realised semivariance 4 13 57 106 12 37 186 303
Measuring downside risk — realised semivariance 3 5 30 56 7 11 55 69
Measuring downside risk-realised semivariance 11 20 42 82 32 60 128 167
Modelling and measuring volatility 3 5 86 86 9 17 61 61
Multipower Variation and Stochastic Volatility 1 5 14 70 4 15 41 160
Multipower Variation and Stochastic Volatility 0 1 9 55 1 3 20 180
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 1 5 19 19 2 8 22 22
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 3 18 18 6 13 37 37
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 2 5 22 22 11 19 56 56
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 3 3 8 29 6 8 34 54
Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading 1 8 32 36 4 17 64 70
Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics 0 0 0 2 3 6 32 187
Non-Gaussian OU based models and some of their uses in financial economics 0 3 26 141 2 8 57 273
Normal Modified Stable Processes 1 2 13 44 2 3 29 126
Normal modified stable processes 2 8 19 143 4 12 36 402
Power Variation and Time Change 5 6 25 101 9 17 49 259
Power and bipower variation with stochastic volatility and jumps 15 37 159 416 27 80 311 819
Power variation & stochastic volatility: a review and some new results 5 10 38 168 12 25 76 337
Realised power variation and stochastic volatility models 4 11 52 256 6 21 77 547
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 1 2 15 67 4 9 41 188
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 1 1 4 80 3 4 18 223
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 12 28 84 1,483 21 45 162 3,741
Some recent developments in stochastic volatility modelling 2 6 27 320 11 23 61 610
Statistical algorithms for models in state space using ssfpack 2.2 4 28 85 438 9 41 131 1,463
Stochastic Volatility 3 13 74 404 8 29 119 581
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 3 13 137 2 6 26 236
Stochastic Volatility: Origins and Overview 1 4 58 58 5 10 38 38
Stochastic Volatility: Origins and Overview 3 10 34 104 7 20 68 169
Stochastic Volatility: Origins and Overview 5 9 53 170 6 13 72 110
Stochastic volatility with leverage: fast likelihood inference 1 9 30 179 14 28 95 461
Stochastic volatility: likelihood inference and comparison with ARCH models 10 41 133 879 24 66 220 2,014
Stochastic volatility: likelihood inference and comparison with ARCH models 6 20 64 527 11 32 109 970
Subsampling realised kernels 1 3 11 29 5 14 34 97
Subsampling realised kernels 1 4 8 37 3 9 29 128
Subsampling realised kernels 1 5 12 32 2 12 42 128
Testing the Assumptions Behind the Use of Importance Sampling 1 4 14 96 8 24 46 365
The ACR model: a multivariate dynamic mixture autoregression 3 7 54 108 10 21 116 190
The Autoregressive Conditional Root (ACR) Model 0 3 9 9 1 5 20 20
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model 1 1 5 77 7 13 49 501
Variation, jumps, market frictions and high frequency data in financial econometrics 7 9 16 118 23 29 50 222
Variation, jumps, market frictions and high frequency data in financial econometrics 8 13 47 167 11 20 87 358
Variation, jumps, market frictions and high frequency data in financial econometrics 4 8 32 102 9 25 85 207
Total Working Papers 234 648 2,771 14,544 665 1,635 6,133 38,316

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analysis of high dimensional multivariate stochastic volatility models 1 5 32 89 6 14 61 174
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 1 4 185
Comment 0 1 1 2 1 3 5 35
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 3 6 37 37 10 19 86 86
Detecting shocks: Outliers and breaks in time series 2 4 12 68 5 9 29 171
Distribution of the ML Estimator of an MA(1) and a local level model 1 1 2 2 2 3 6 6
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 0 0 0 0 2 7 40 103
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 5 12 30 194 7 18 57 506
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 1 3 46 87 3 11 99 203
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2 5 26 86 6 13 51 199
Estimating quadratic variation using realized variance 7 26 88 424 18 50 181 1,242
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 5 16 68 593
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models 3 8 25 118 5 12 50 418
Foreword by the Editors 0 0 0 0 1 1 2 77
From Characteristic Function to Distribution Function: A Simple Framework for the Theory 2 4 10 10 7 10 23 23
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 1 8 34 2 6 16 95
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 2 6 11 2 7 16 39
Likelihood Inference for Discretely Observed Nonlinear Diffusions 0 0 0 0 2 4 21 246
Likelihood analysis of a first-order autoregressive model with exponential innovations 2 2 6 96 4 6 27 420
Likelihood-Based Estimation of Latent Generalized ARCH Structures 3 5 23 116 5 12 48 457
Local scale models: State space alternative to integrated GARCH processes 3 13 37 122 5 19 59 242
Markov chain Monte Carlo methods for stochastic volatility models 11 24 83 375 16 34 132 663
Multivariate Stochastic Variance Models 9 27 137 1,040 20 58 275 2,302
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics 4 12 66 151 11 28 112 255
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 1 3 8 113
Simulation-based likelihood inference for limited dependent processes 0 0 0 0 1 1 12 197
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 11 30 101 981
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 11 36 86 360 16 48 128 755
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 0 7 27 1 3 19 72
Testing the assumptions behind importance sampling 2 10 20 20 4 23 55 55
The ACR Model: A Multivariate Dynamic Mixture Autoregression 2 6 27 28 5 12 58 64
Total Journal Articles 74 213 815 3,498 185 481 1,849 10,977

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Statistics updated 2009-11-04