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 0 0 1 94 0 3 12 373
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 1 1 14 807
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 0 125 0 0 12 626
A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) 0 0 0 0 0 1 8 11
A feasible central limit theory for realised volatility under leverage 0 0 0 92 2 2 8 371
Aggregation and Model Construction for Volatility Models 0 0 0 1 0 0 9 1,026
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models 1 1 1 200 1 2 12 711
Autoregressive conditional root model 0 0 0 190 0 0 16 866
BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time 0 2 8 357 1 4 30 802
Basics of Levy processes 0 0 0 59 0 1 14 202
Basics of Levy processes 0 0 1 108 0 3 17 268
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models 0 0 0 146 0 1 10 350
Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes" 0 0 0 139 0 0 5 651
Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession 0 0 0 10 0 2 14 79
Computationally-intensive Econometrics using a Distributed Matrix-programming Language 0 0 0 181 0 2 14 918
Continuous time analysis of fleeting discrete price moves 0 0 0 2 0 0 6 22
Continuous time analysis of fleeting discrete price moves 0 0 0 23 0 0 15 23
Deferred fees for universities 0 0 0 37 0 0 12 179
Deletion Diagnostics and Transformations for Time Series 0 0 0 0 0 2 9 18
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 2 90 0 5 37 363
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 136 0 3 44 573
Discrete-valued Levy processes and low latency financial econometrics 1 1 1 107 1 2 10 269
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 42 0 1 19 106
Dynamics of trade-by-trade price movements: decomposition and models 0 0 0 136 0 1 12 320
Dynamics of trade-by-trade price movements: decomposition and models 0 0 0 321 0 0 11 833
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 0 367 1 2 21 1,296
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 1 1 2 32 1 1 19 154
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 1 1 1 22 1 1 9 160
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 0 3 14 161
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 0 3 24 778
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 3 532 0 0 32 1,323
Econometrics of testing for jumps in financial economics using bipower variation 0 0 1 473 0 6 38 1,180
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 2 4 21 619
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 13 0 2 13 106
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 20 1 2 8 110
Estimating quadratic variation using realised volatility 0 0 0 329 0 2 17 1,003
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 0 16 229
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 0 0 12 61
Filtering via simulation: auxiliary particle filters 0 0 0 772 0 0 21 2,019
Fitting vast dimensional time-varying covariance models 0 0 0 356 0 0 19 847
Fitting vast dimensional time-varying covariance models 0 0 0 125 1 5 20 306
Generalized linear autoregressions 0 1 4 525 0 2 16 1,187
Higher order variation and stochastic volatility models 0 0 0 95 0 0 14 298
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 0 2 82 0 3 17 280
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 0 1 62 0 1 19 177
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 1 1 399 0 1 20 1,139
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 0 0 7 691
Income contingent tuition fees for universities 0 0 0 32 0 0 8 142
Income contingent tuition fees for universities 0 0 0 22 0 0 8 109
Income contingent tuition fees for universities 0 0 0 38 0 1 10 126
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality 0 0 1 27 0 1 14 94
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 0 275 0 0 10 710
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form 0 0 1 183 0 0 13 633
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 0 3 17 183
Integrated OU Processes 0 0 1 316 1 3 16 781
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 1 1 23 166
Learning and filtering via simulation: smoothly jittered particle filters 0 0 1 139 0 3 22 366
Likelihood Analysis of Non-Gaussian Parameter-Driven Models 0 0 0 0 1 2 12 944
Likelihood INference for Discretely Observed Non-linear Diffusions 0 0 0 1 0 1 14 1,329
Likelihood Inference for Exponential-Trawl Processes 0 0 0 14 0 0 6 12
Likelihood analysis of non-Gaussian parameter driven models 0 0 0 184 0 1 15 615
Likelihood based inference for diffusion driven models 0 0 0 114 0 0 5 303
Likelihood based inference for diffusion driven models 0 0 0 183 0 1 16 474
Likelihood inference for discretely observed non-linear diffusions 0 0 0 141 0 2 8 435
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 1 12 35
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 0 1 17 60
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 159 0 1 11 493
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 0 16 263
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 2 13 321
Limit theorems for bipower variation in financial econometrics 0 0 0 95 0 1 8 321
Limit theorems for bipower variation in financial econometrics 0 0 0 186 0 2 24 567
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 0 2 7 209
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 0 1 13 401
Martingale unobserved component models 0 0 0 76 0 1 14 196
Martingale unobserved component models 0 0 0 42 0 1 9 145
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 0 0 10 972
Measuring downside risk - realised semivariance 0 0 1 113 2 5 22 360
Measuring downside risk — realised semivariance 0 0 1 169 3 11 34 409
Measuring downside risk-realised semivariance 0 0 2 350 3 7 45 1,283
Modelling and measuring volatility 0 0 0 259 0 0 7 381
Moment conditions and Bayesian nonparametrics 0 0 0 36 0 0 11 54
Multipower Variation and Stochastic Volatility 0 0 0 116 0 1 13 311
Multipower Variation and Stochastic Volatility 0 0 0 72 0 1 11 282
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 0 148 0 1 27 328
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 0 74 0 1 35 375
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 71 2 3 23 280
Multivariate Rotated ARCH Models 0 0 0 33 0 0 20 262
Multivariate Rotated ARCH models 0 0 0 42 0 0 11 107
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 10 0 0 8 103
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 0 0 22 405
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 0 2 19 444
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 0 0 47 244
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 0 0 16 224
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 0 1 8 340
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 0 2 15 505
Normal Modified Stable Processes 0 0 0 43 0 0 14 130
Normal modified stable processes 0 0 0 186 0 1 13 571
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 21 1 2 19 142
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 65 0 0 22 221
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 98 1 1 15 349
Parallel Computation in Econometrics: A Simplified Approach 0 0 0 201 1 1 8 507
Power Variation and Time Change 0 0 0 168 0 0 13 487
Power and bipower variation with stochastic volatility and jumps 1 3 4 850 6 18 74 2,086
Power variation & stochastic volatility: a review and some new results 0 0 0 265 0 2 13 691
Realised power variation and stochastic volatility models 0 0 0 346 0 1 15 793
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 76 0 1 5 218
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 121 1 4 37 403
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 105 0 2 21 344
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 1 18 457
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 1 12 377
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 36 0 0 10 126
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 20 0 3 9 135
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 0 0 1 1,721 1 1 25 4,426
Some recent developments in stochastic volatility modelling 0 0 0 397 0 1 11 822
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 0 5 37 147
Stochastic Volatility 0 2 5 577 0 5 50 1,031
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 172 0 1 17 397
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) 0 0 0 18 0 0 13 110
Stochastic Volatility: Origins and Overview 0 0 1 248 0 0 12 326
Stochastic Volatility: Origins and Overview 0 0 1 342 0 1 21 714
Stochastic Volatility: Origins and Overview 0 0 1 112 0 1 16 242
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 0 2 18 933
Stochastic volatility: likelihood inference and comparison with ARCH models 1 2 2 1,248 2 6 44 3,088
Stochastic volatility: likelihood inference and comparison with ARCH models 1 1 2 676 2 3 31 1,460
Submission to the review on “Higher Education Funding and Student Finance” 0 0 0 12 0 0 11 64
Subsampling realised kernels 0 0 0 53 0 1 18 258
Subsampling realised kernels 0 0 0 45 0 1 19 273
Subsampling realised kernels 0 0 1 76 1 1 19 354
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 2 18 511
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 2 2 14 784
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 7 7 19 136
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model 0 0 0 123 0 2 11 736
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 0 1 17 447
Variation, jumps, market frictions and high frequency data in financial econometrics 0 1 1 296 2 4 24 842
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 0 1 12 1,019
When do common time series estimands have nonparametric causal meaning? 1 1 5 69 1 1 44 220
Total Working Papers 8 18 68 23,252 54 228 2,371 70,370

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of sample survey measures of earnings of English graduates with administrative data 0 0 0 6 0 0 8 28
Analysis of high dimensional multivariate stochastic volatility models 0 0 0 278 0 3 17 674
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models 0 0 0 0 1 2 15 22
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS 0 1 2 117 2 4 19 299
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 2 5 217
Comment 0 0 0 8 1 1 15 78
Continuous Time Analysis of Fleeting Discrete Price Moves 0 0 0 0 0 0 11 17
DEFERRED FEES FOR UNIVERSITIES 0 0 0 6 1 1 14 59
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 2 238 2 11 66 790
Detecting shocks: Outliers and breaks in time series 0 0 1 138 0 1 20 371
Distribution of the ML Estimator of an MA(1) and a local level model 0 0 0 12 1 1 6 57
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 0 0 0 0 10 11 29 371
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 0 279 0 1 16 829
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice 0 2 3 46 0 4 14 109
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 0 2 26 162
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 3 15 423 4 19 77 1,385
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 1 1 2 345 2 6 47 1,078
Estimating quadratic variation using realized variance 0 1 3 621 1 2 28 1,870
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 0 2 20 939
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models 0 0 0 191 0 0 8 584
Foreword by the Editors 0 0 0 0 0 1 7 97
From Characteristic Function to Distribution Function: A Simple Framework for the Theory 0 0 0 67 0 2 10 177
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 0 3 20 286
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 1 48 0 0 14 188
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 1 1 13 96
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 0 1 12 34
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 1 1 13 160
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates 0 0 0 4 0 3 13 32
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 0 0 6 311
Likelihood Inference for Discretely Observed Nonlinear Diffusions 0 0 0 0 1 1 12 408
Likelihood analysis of a first‐order autoregressive model with exponential innovations 0 0 0 124 0 0 6 514
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 1 1 9 635
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 2 4 19 72
Local scale models: State space alternative to integrated GARCH processes 0 0 0 201 2 3 10 428
Markov chain Monte Carlo methods for stochastic volatility models 0 1 2 660 1 4 33 1,391
Moment conditions and Bayesian non‐parametrics 0 0 0 4 2 4 10 31
Multivariate Stochastic Variance Models 1 1 4 1,461 2 4 31 3,538
Multivariate high‐frequency‐based volatility (HEAVY) models 0 0 0 0 0 2 33 174
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 2 130 3 6 33 470
Multivariate rotated ARCH models 0 0 0 19 0 1 10 158
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 1 366 0 2 25 777
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 6 151
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 3 14 0 0 15 44
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models 0 0 1 261 2 6 35 832
Realized Volatility 0 0 0 44 0 1 8 133
Realized kernels in practice: trades and quotes 0 0 0 171 2 7 35 626
Simulation-based likelihood inference for limited dependent processes 0 0 0 0 0 1 14 265
Some recent developments in stochastic volatility modelling 0 0 0 16 1 2 11 70
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 2 3 27 1,315
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 4 6 16 851 10 17 77 2,129
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 0 1 213 3 3 29 596
Subsampling realised kernels 0 0 0 52 1 3 18 236
Testing the assumptions behind importance sampling 0 0 0 67 1 1 11 285
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 6 7 33 400
Total Journal Articles 6 17 60 7,982 70 168 1,119 26,998

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