Neil Shephard - Citas de Google Académico

Citado por

	Total	Desde 2014
Citas	35373	12947
Índice h	64	48
Índice i10	136	96

2400

1200

600

1800

199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019158 226 355 363 415 513 724 894 1144 1333 1634 1563 1726 1989 2051 2200 2337 2051 2328 2053 2399 2007 2045 2101

Coautores

Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamDirección de correo verificada de vu.nl
Siddhartha ChibHarry C Hartkopf Professor of Econometrics and StatisticsDirección de correo verificada de wustl.edu
M PittKing's College LondonDirección de correo verificada de kcl.ac.uk
Asger LundeProfessor of Economics, Aarhus UniversityDirección de correo verificada de econ.au.dk
Peter HansenHenry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & VisitingDirección de correo verificada de unc.edu
Kevin SheppardUniversity Lecturer, University of OxfordDirección de correo verificada de economics.ox.ac.uk
anna vignolesUniversity of Cambridge and Institute of EducationDirección de correo verificada de cam.ac.uk
Anders RahbekProfessor, University of CopenhagenDirección de correo verificada de econ.ku.dk
David F HendrySenior Research Fellow, Nuffield College, Oxford UniversityDirección de correo verificada de nuffield.ox.ac.uk
Bent NielsenNuffield College & Department of Economics, Oxford & Programme on Economic Modelling, INET, OxfordDirección de correo verificada de nuffield.ox.ac.uk
Mark PodolskijProfessor of Probability and Statistics, Aarhus UniversityDirección de correo verificada de math.au.dk
Dacheng Xiu (修大成)University of Chicago Booth School of BusinessDirección de correo verificada de chicagobooth.edu
Per MyklandRobert M. Hutchins Professor of Statistics and Finance, The University of ChicagoDirección de correo verificada de pascal.uchicago.edu
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityDirección de correo verificada de northwestern.edu
Almut VeraartImperial College LondonDirección de correo verificada de imperial.ac.uk
Arnaud DoucetProfessor of Statistics, University of Oxford & Research Scientist, Google DeepMindDirección de correo verificada de stats.ox.ac.uk
Luke BornnSacramento Kings and Simon Fraser UniversityDirección de correo verificada de stat.harvard.edu

Neil Shephard

Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University

Dirección de correo verificada de fas.harvard.edu - Página principal

Econometrics economics statistics financial econometrics finance


Título	Citado por	Año
Filtering via simulation: Auxiliary particle filters MK Pitt, N Shephard Journal of the American statistical association 94 (446), 590-599, 1999	2855	1999
Stochastic volatility: likelihood inference and comparison with ARCH models S Kim, N Shephard, S Chib The review of economic studies 65 (3), 361-393, 1998	2372	1998
Econometric analysis of realized volatility and its use in estimating stochastic volatility models OE Barndorff‐Nielsen, N Shephard Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2002	2086	2002
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics OE Barndorff‐Nielsen, N Shephard Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2001	2050	2001
Power and bipower variation with stochastic volatility and jumps OE Barndorff-Nielsen, N Shephard Journal of financial econometrics 2 (1), 1-37, 2004	1785	2004
Multivariate stochastic variance models A Harvey, E Ruiz, N Shephard The Review of Economic Studies 61 (2), 247-264, 1994	1710	1994
Five alternative methods of estimating long-run equilibrium relationships J Gonzalo Journal of econometrics 60 (1-2), 203-233, 1994	1606	1994
Econometrics of testing for jumps in financial economics using bipower variation OE Barndorff-Nielsen, N Shephard Journal of financial Econometrics 4 (1), 1-30, 2006	1235	2006
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard Econometrica 76 (6), 1481-1536, 2008	1163	2008
Statistical aspects of ARCH and stochastic volatility N Shephard Monographs on Statistics and Applied Probability 65, 1-68, 1996	1122	1996
STAMP 6.0: Structural Time Series Analyser, Modeller and Predictor SJ Koopman, AC Harvey, JA Doornik, N Shephard London: Timberlake Consultants, 2000	942	2000
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics OE Barndorff‐Nielsen, N Shephard Econometrica 72 (3), 885-925, 2004	806	2004
Likelihood analysis of non-Gaussian measurement time series N Shephard, MK Pitt Biometrika 84 (3), 653-667, 1997	800	1997
Markov chain Monte Carlo methods for stochastic volatility models S Chib, F Nardari, N Shephard Journal of Econometrics 108 (2), 281-316, 2002	675	2002
The simulation smoother for time series models P De Jong, N Shephard Biometrika 82 (2), 339-350, 1995	656	1995
Statistical algorithms for models in state space using SsfPack 2.2 SJ Koopman, N Shephard, JA Doornik The Econometrics Journal 2 (1), 107-160, 1999	622	1999
Estimating quadratic variation using realized variance OE Barndorff‐Nielsen, N Shephard Journal of Applied econometrics 17 (5), 457-477, 2002	582	2002
Likelihood inference for discretely observed nonlinear diffusions O Elerian, S Chib, N Shephard Econometrica 69 (4), 959-993, 2001	571	2001
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 162 (2), 149-169, 2011	570	2011
Realized kernels in practice: Trades and quotes OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard The Econometrics Journal 12 (3), C1-C32, 2009	543	2009

El sistema no puede realizar la operación en estos momentos. Inténtalo de nuevo más tarde.

Artículos 1–20

Citas por año

Citas duplicadas

Citas combinadas

Añadir coautoresCoautores

Subir PDF

Seguir a este autor

Citado por

Coautores