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 1 12 373
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 3 4 17 810
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 0 125 2 2 14 628
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 1 1 9 12
A feasible central limit theory for realised volatility under leverage 0 0 0 92 1 3 9 372
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 0 1 1 200 0 1 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 1 8 357 0 3 29 802
Basics of Levy processes 0 0 0 59 0 0 12 202
Basics of Levy processes 0 0 1 108 0 1 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 1 14 79
Computationally-intensive Econometrics using a Distributed Matrix-programming Language 0 0 0 181 0 1 14 918
Continuous time analysis of fleeting discrete price moves 0 0 0 23 0 0 15 23
Continuous time analysis of fleeting discrete price moves 0 0 0 2 3 3 8 25
Deferred fees for universities 0 0 0 37 1 1 13 180
Deletion Diagnostics and Transformations for Time Series 0 0 0 0 1 2 9 19
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 2 90 2 7 38 365
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 136 3 5 44 576
Discrete-valued Levy processes and low latency financial econometrics 0 1 1 107 1 2 11 270
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 0 321 0 0 11 833
Dynamics of trade-by-trade price movements: decomposition and models 0 0 0 136 1 1 13 321
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 0 367 0 2 21 1,296
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 1 2 32 0 1 19 154
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 2 4 13 163
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 1 1 22 0 1 8 160
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 1 1 24 779
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 3 532 2 2 34 1,325
Econometrics of testing for jumps in financial economics using bipower variation 0 0 1 473 3 5 41 1,183
Econometrics of testing for jumps in financial economics using bipower variation 1 1 1 253 1 3 22 620
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 13 0 1 13 106
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 20 1 3 9 111
Estimating quadratic variation using realised volatility 0 0 0 329 0 0 17 1,003
Estimation and Testing of Stochastic Variance Models 0 0 0 0 1 1 17 230
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 1 1 22 2,020
Fitting vast dimensional time-varying covariance models 1 1 1 357 2 2 20 849
Fitting vast dimensional time-varying covariance models 0 0 0 125 1 4 19 307
Generalized linear autoregressions 0 0 3 525 1 1 16 1,188
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 1 82 0 1 16 280
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 0 0 62 0 0 17 177
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 1 399 1 1 19 1,140
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 38 0 1 9 126
Income contingent tuition fees for universities 0 0 0 22 3 3 11 112
Income contingent tuition fees for universities 0 0 0 32 0 0 8 142
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality 0 0 1 27 1 1 15 95
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 0 275 0 0 9 710
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form 0 0 0 183 0 0 11 633
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 3 4 20 186
Integrated OU Processes 0 0 1 316 1 2 16 782
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 0 1 23 166
Learning and filtering via simulation: smoothly jittered particle filters 0 0 1 139 0 0 22 366
Likelihood Analysis of Non-Gaussian Parameter-Driven Models 0 0 0 0 0 2 12 944
Likelihood INference for Discretely Observed Non-linear Diffusions 0 0 0 1 0 0 12 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 0 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 0 15 474
Likelihood inference for discretely observed non-linear diffusions 0 0 0 141 1 3 9 436
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 0 11 35
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 2 2 15 323
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 0 159 0 0 10 493
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 1 1 18 61
Limit theorems for bipower variation in financial econometrics 0 0 0 186 1 3 23 568
Limit theorems for bipower variation in financial econometrics 0 0 0 95 1 1 9 322
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 1 2 8 210
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 1 2 14 402
Martingale unobserved component models 0 0 0 42 5 5 14 150
Martingale unobserved component models 0 0 0 76 1 1 15 197
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 0 0 9 972
Measuring downside risk - realised semivariance 0 0 1 113 2 6 23 362
Measuring downside risk — realised semivariance 0 0 1 169 3 9 36 412
Measuring downside risk-realised semivariance 0 0 2 350 2 8 46 1,285
Modelling and measuring volatility 0 0 0 259 1 1 8 382
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 1 1 1 73 2 2 12 284
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 0 74 0 0 35 375
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 0 148 3 4 29 331
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 1 1 1 72 3 5 26 283
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 7 103
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
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 2 2 23 407
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 1 2 20 445
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 1 1 46 245
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 0 7 340
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 1 2 16 506
Normal Modified Stable Processes 0 0 0 43 0 0 14 130
Normal modified stable processes 0 0 0 186 0 1 11 571
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 21 0 1 18 142
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 98 0 1 15 349
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 65 1 1 23 222
Parallel Computation in Econometrics: A Simplified Approach 0 0 0 201 1 2 9 508
Power Variation and Time Change 0 0 0 168 0 0 13 487
Power and bipower variation with stochastic volatility and jumps 0 3 4 850 2 18 75 2,088
Power variation & stochastic volatility: a review and some new results 0 0 0 265 0 1 13 691
Realised power variation and stochastic volatility models 0 0 0 346 0 0 15 793
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 76 1 2 6 219
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 105 2 3 23 346
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 121 3 7 40 406
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 0 12 377
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 0 18 457
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 36 0 0 9 126
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 20 0 0 9 135
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 0 0 1 1,721 3 4 28 4,429
Some recent developments in stochastic volatility modelling 0 0 0 397 0 0 10 822
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 0 3 37 147
Stochastic Volatility 1 2 6 578 1 3 50 1,032
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 172 0 0 16 397
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 12 110
Stochastic Volatility: Origins and Overview 0 0 1 248 1 1 12 327
Stochastic Volatility: Origins and Overview 0 0 1 112 1 2 16 243
Stochastic Volatility: Origins and Overview 0 0 1 342 1 2 22 715
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 1 2 18 934
Stochastic volatility: likelihood inference and comparison with ARCH models 0 2 2 1,248 0 5 42 3,088
Stochastic volatility: likelihood inference and comparison with ARCH models 0 1 2 676 0 3 30 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 0 18 258
Subsampling realised kernels 0 0 0 76 0 1 17 354
Subsampling realised kernels 0 0 0 45 0 0 18 273
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 2 18 512
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 0 2 13 784
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 0 7 16 136
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 1 296 1 4 24 843
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 0 1 400 1 2 11 1,020
When do common time series estimands have nonparametric causal meaning? 1 2 6 70 5 6 47 225
Total Working Papers 6 19 69 23,258 105 241 2,402 70,475

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 7 28
Analysis of high dimensional multivariate stochastic volatility models 0 0 0 278 0 1 16 674
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models 0 0 0 0 0 1 15 22
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS 0 0 2 117 0 2 18 299
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 5 217
Comment 0 0 0 8 0 1 15 78
Continuous Time Analysis of Fleeting Discrete Price Moves 0 0 0 0 1 1 12 18
DEFERRED FEES FOR UNIVERSITIES 0 0 0 6 0 1 14 59
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 0 2 238 7 14 72 797
Detecting shocks: Outliers and breaks in time series 0 0 1 138 0 0 20 371
Distribution of the ML Estimator of an MA(1) and a local level model 0 0 0 12 0 1 6 57
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 0 0 0 0 2 12 31 373
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 0 279 1 1 16 830
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice 0 1 3 46 1 3 15 110
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 0 1 26 162
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 1 15 423 2 14 79 1,387
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 1 2 345 5 10 51 1,083
Estimating quadratic variation using realized variance 0 1 3 621 0 2 27 1,870
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 0 1 18 939
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models 0 0 0 191 1 1 9 585
Foreword by the Editors 0 0 0 0 1 2 8 98
From Characteristic Function to Distribution Function: A Simple Framework for the Theory 0 0 0 67 1 1 11 178
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 2 4 22 288
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 0 48 0 0 13 188
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 0 1 13 96
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 0 0 12 34
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 1 2 13 161
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates 0 0 0 4 0 1 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 0 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 2 10 636
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 0 3 17 72
Local scale models: State space alternative to integrated GARCH processes 0 0 0 201 0 3 10 428
Markov chain Monte Carlo methods for stochastic volatility models 0 1 2 660 1 4 33 1,392
Moment conditions and Bayesian non‐parametrics 0 0 0 4 0 3 10 31
Multivariate Stochastic Variance Models 0 1 4 1,461 1 4 29 3,539
Multivariate high‐frequency‐based volatility (HEAVY) models 0 0 0 0 4 5 35 178
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 2 130 0 4 32 470
Multivariate rotated ARCH models 0 0 0 19 1 2 11 159
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 1 366 1 2 25 778
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 1 1 4 15 4 4 17 48
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models 0 0 1 261 4 10 37 836
Realized Volatility 0 0 0 44 0 1 8 133
Realized kernels in practice: trades and quotes 0 0 0 171 1 5 35 627
Simulation-based likelihood inference for limited dependent processes 0 0 0 0 0 0 14 265
Some recent developments in stochastic volatility modelling 0 0 0 16 1 2 12 71
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 2 5 29 1,317
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 4 10 20 855 8 21 84 2,137
Stochastic volatility with leverage: Fast and efficient likelihood inference 1 1 2 214 2 5 29 598
Subsampling realised kernels 0 0 0 52 1 2 19 237
Testing the assumptions behind importance sampling 0 0 0 67 1 2 12 286
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 0 6 33 400
Total Journal Articles 6 19 65 7,988 58 175 1,148 27,056

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