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 0 271 2 7 16 806
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 1 94 1 2 10 370
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 0 1 125 2 4 13 626
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 0 7 10
A feasible central limit theory for realised volatility under leverage 0 0 1 92 1 3 7 369
Aggregation and Model Construction for Volatility Models 0 0 0 1 1 1 9 1,026
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models 0 0 0 199 1 2 10 709
Autoregressive conditional root model 0 0 0 190 4 8 16 866
BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time 0 1 8 355 2 7 32 798
Basics of Levy processes 0 1 2 108 2 4 16 265
Basics of Levy processes 0 0 0 59 4 5 14 201
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models 0 0 0 146 0 2 10 349
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 1 5 651
Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession 0 0 0 10 0 3 13 77
Computationally-intensive Econometrics using a Distributed Matrix-programming Language 0 0 0 181 4 7 12 916
Continuous time analysis of fleeting discrete price moves 0 0 0 23 0 8 15 23
Continuous time analysis of fleeting discrete price moves 0 0 0 2 0 0 7 22
Deferred fees for universities 0 0 0 37 4 5 13 179
Deletion Diagnostics and Transformations for Time Series 0 0 0 0 1 3 7 16
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 1 2 90 12 16 34 358
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 1 1 3 136 14 19 44 570
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 1 5 8 267
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 42 1 4 18 105
Dynamics of trade-by-trade price movements: decomposition and models 0 0 1 136 1 3 12 319
Dynamics of trade-by-trade price movements: decomposition and models 0 0 0 321 1 3 12 833
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 1 367 7 13 21 1,294
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 1 31 2 4 18 153
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 1 2 12 158
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 21 0 1 8 159
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 9 11 22 775
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 1 3 532 15 20 34 1,323
Econometrics of testing for jumps in financial economics using bipower variation 0 0 3 473 11 12 35 1,174
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 7 7 18 615
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 13 5 7 11 104
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 20 1 2 6 108
Estimating quadratic variation using realised volatility 0 0 1 329 4 8 16 1,001
Estimation and Testing of Stochastic Variance Models 0 0 0 0 2 3 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 3 7 13 61
Filtering via simulation: auxiliary particle filters 0 0 1 772 2 4 23 2,019
Fitting vast dimensional time-varying covariance models 0 0 1 125 3 6 17 301
Fitting vast dimensional time-varying covariance models 0 0 2 356 4 7 23 847
Generalized linear autoregressions 0 0 5 524 1 4 16 1,185
Higher order variation and stochastic volatility models 0 0 0 95 2 5 14 298
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 0 2 82 1 5 14 277
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 0 2 62 1 5 20 176
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 0 398 6 10 21 1,138
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 0 4 7 691
Income contingent tuition fees for universities 0 0 0 32 2 3 9 142
Income contingent tuition fees for universities 0 0 0 22 0 1 8 109
Income contingent tuition fees for universities 0 0 0 38 2 2 10 125
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality 0 0 1 27 3 4 13 93
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 0 275 2 2 10 710
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form 0 0 1 183 5 6 14 633
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 2 9 14 180
Integrated OU Processes 0 1 1 316 3 6 15 778
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 2 4 23 165
Learning and filtering via simulation: smoothly jittered particle filters 0 0 1 139 2 6 20 363
Likelihood Analysis of Non-Gaussian Parameter-Driven Models 0 0 0 0 3 4 11 942
Likelihood INference for Discretely Observed Non-linear Diffusions 0 0 0 1 1 3 14 1,328
Likelihood Inference for Exponential-Trawl Processes 0 0 0 14 2 2 6 12
Likelihood analysis of non-Gaussian parameter driven models 0 0 0 184 5 5 15 614
Likelihood based inference for diffusion driven models 0 0 0 114 1 1 5 303
Likelihood based inference for diffusion driven models 0 0 0 183 6 7 15 473
Likelihood inference for discretely observed non-linear diffusions 0 0 0 141 1 1 6 433
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 1 11 34
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 2 5 16 59
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 3 6 11 319
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 5 7 16 263
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 159 0 0 10 492
Limit theorems for bipower variation in financial econometrics 0 0 0 186 3 4 24 565
Limit theorems for bipower variation in financial econometrics 0 0 0 95 2 2 7 320
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 1 1 5 207
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 1 3 13 400
Martingale unobserved component models 0 0 0 76 5 6 15 195
Martingale unobserved component models 0 0 0 42 1 4 9 144
Measuring and forecasting financial variability using realised variance with and without a model 0 0 0 199 1 2 10 972
Measuring downside risk - realised semivariance 0 1 1 113 2 10 17 355
Measuring downside risk — realised semivariance 0 1 1 169 9 13 24 398
Measuring downside risk-realised semivariance 0 1 2 350 6 13 38 1,276
Modelling and measuring volatility 0 0 0 259 1 4 11 381
Moment conditions and Bayesian nonparametrics 0 0 0 36 1 3 11 54
Multipower Variation and Stochastic Volatility 0 0 0 116 2 8 12 310
Multipower Variation and Stochastic Volatility 0 0 0 72 1 2 10 281
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 1 148 4 12 27 327
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 0 74 5 16 35 374
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 71 5 12 20 277
Multivariate Rotated ARCH Models 0 0 0 33 4 6 21 262
Multivariate Rotated ARCH models 0 0 0 42 5 6 11 107
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 1 10 3 3 9 103
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 5 7 48 244
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 6 8 18 442
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 5 23 405
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 1 4 17 224
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 1 2 7 339
Non-Gaussian OU based models and some of their uses in financial economics 0 0 0 220 1 5 14 503
Normal Modified Stable Processes 0 0 1 43 3 4 16 130
Normal modified stable processes 0 0 0 186 3 5 13 570
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 21 3 8 18 140
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 65 4 11 22 221
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 98 1 2 14 348
Parallel Computation in Econometrics: A Simplified Approach 0 0 0 201 2 2 7 506
Power Variation and Time Change 0 0 0 168 6 7 13 487
Power and bipower variation with stochastic volatility and jumps 0 0 1 847 16 17 59 2,068
Power variation & stochastic volatility: a review and some new results 0 0 0 265 3 5 11 689
Realised power variation and stochastic volatility models 0 0 0 346 3 8 15 792
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 1 105 0 8 22 342
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 121 1 3 33 399
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 76 3 3 4 217
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 5 7 12 376
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 9 11 18 456
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 36 3 5 12 126
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 20 2 2 6 132
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 0 1 1 1,721 9 12 28 4,425
Some recent developments in stochastic volatility modelling 0 0 0 397 2 6 10 821
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 1 23 1 14 32 142
Stochastic Volatility 0 2 3 575 14 23 47 1,026
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 172 3 5 16 396
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 3 5 14 110
Stochastic Volatility: Origins and Overview 0 0 1 248 2 2 13 326
Stochastic Volatility: Origins and Overview 0 0 1 342 5 8 20 713
Stochastic Volatility: Origins and Overview 0 0 1 112 2 3 17 241
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 3 9 18 931
Stochastic volatility: likelihood inference and comparison with ARCH models 0 1 1 675 10 12 28 1,457
Stochastic volatility: likelihood inference and comparison with ARCH models 0 0 1 1,246 10 20 39 3,082
Submission to the review on “Higher Education Funding and Student Finance” 0 0 0 12 1 3 11 64
Subsampling realised kernels 0 0 0 45 3 5 18 272
Subsampling realised kernels 0 0 0 53 5 6 17 257
Subsampling realised kernels 0 0 1 76 1 2 18 353
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 2 7 16 509
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 4 9 12 782
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 4 5 12 129
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model 0 0 0 123 2 5 9 734
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 2 9 16 446
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 1 400 0 2 11 1,018
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 295 3 8 21 838
When do common time series estimands have nonparametric causal meaning? 0 0 4 68 1 6 45 219
Total Working Papers 1 13 72 23,234 435 809 2,256 70,142

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 1 2 8 28
Analysis of high dimensional multivariate stochastic volatility models 0 0 0 278 3 7 14 671
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models 0 0 0 0 0 3 14 20
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS 0 0 1 116 4 7 16 295
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 5 215
Comment 0 0 0 8 2 4 14 77
Continuous Time Analysis of Fleeting Discrete Price Moves 0 0 0 0 0 3 11 17
DEFERRED FEES FOR UNIVERSITIES 0 0 0 6 1 2 13 58
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 1 3 238 14 23 58 779
Detecting shocks: Outliers and breaks in time series 0 0 1 138 2 4 20 370
Distribution of the ML Estimator of an MA(1) and a local level model 0 0 0 12 0 2 6 56
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 0 0 0 0 5 8 19 360
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 1 279 3 6 20 828
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice 0 0 1 44 1 4 11 105
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 4 9 25 160
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 3 17 420 17 30 77 1,366
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 1 1 344 14 24 42 1,072
Estimating quadratic variation using realized variance 1 1 2 620 4 9 26 1,868
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 1 7 23 937
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models 0 0 0 191 1 1 9 584
Foreword by the Editors 0 0 0 0 0 1 6 96
From Characteristic Function to Distribution Function: A Simple Framework for the Theory 0 0 0 67 2 5 9 175
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 74 4 7 17 283
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 1 48 4 5 14 188
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 2 5 13 95
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 0 5 1 4 11 33
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 2 4 12 159
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates 0 0 0 4 0 3 11 29
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 1 2 7 311
Likelihood Inference for Discretely Observed Nonlinear Diffusions 0 0 0 0 1 3 11 407
Likelihood analysis of a first‐order autoregressive model with exponential innovations 0 0 0 124 1 1 6 514
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 1 2 8 634
Limit theorems for multipower variation in the presence of jumps 0 0 0 7 2 5 15 68
Local scale models: State space alternative to integrated GARCH processes 0 0 0 201 1 2 8 425
Markov chain Monte Carlo methods for stochastic volatility models 0 0 3 659 0 4 32 1,387
Moment conditions and Bayesian non‐parametrics 0 0 0 4 1 3 6 27
Multivariate Stochastic Variance Models 1 2 3 1,460 5 9 30 3,534
Multivariate high‐frequency‐based volatility (HEAVY) models 0 0 0 0 3 10 32 172
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 4 129 2 4 32 464
Multivariate rotated ARCH models 0 0 0 19 1 3 9 157
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 0 2 366 2 5 25 775
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 1 6 151
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 1 3 3 14 1 7 15 44
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models 1 1 2 261 3 8 30 826
Realized Volatility 0 0 0 44 1 2 8 132
Realized kernels in practice: trades and quotes 0 0 0 171 3 9 29 619
Simulation-based likelihood inference for limited dependent processes 0 0 0 0 5 10 13 264
Some recent developments in stochastic volatility modelling 0 0 0 16 2 2 10 68
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 6 16 27 1,312
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 3 4 10 845 7 18 69 2,112
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 0 3 213 5 7 29 593
Subsampling realised kernels 0 0 0 52 5 7 15 233
Testing the assumptions behind importance sampling 0 0 0 67 2 3 12 284
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 3 12 31 393
Total Journal Articles 7 16 59 7,965 156 344 1,039 26,830

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