@comment{{This file has been generated by bib2bib 1.92}}
@comment{{Command line: bib2bib -oc nsart -ob shepart.bib -c "author : 'Shephard' and $type = 'ARTICLE'" neil.bib}}
@article{AtkinsonKoopmanShephard(97),
author = {Atkinson, Anthony C and Siem Jan Koopman and Neil Shephard},
title = {Detecting shocks: outliers and breaks in time series},
journal = {Journal of Econometrics},
volume = 80,
year = 1997,
pages = {387--422}
}
@article{AtkinsonShephard(96),
author = {Atkinson, Anthony C. and Neil Shephard},
title = {Deletion diagnostics and transformations for time series},
journal = {Journal of Forecasting},
volume = 15,
year = 1996,
pages = {1--17}
}
@article{BarndorffNielsenHansenLundeShephard(08realised),
author = {Barndorff-Nielsen, Ole E and Peter Reinhard Hansen and Asger Lunde and Neil Shephard},
title = {Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise},
journal = {Econometrica},
year = 2008,
pages = {1481--1536},
volume = 76,
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/ecta08.pdf}
}
@article{BarndorffNielsenHansenLundeShephard(08ectj),
author = {Barndorff-Nielsen, Ole E and Peter Reinhard Hansen and Asger Lunde and Neil Shephard},
title = {Realised kernels in Practice: trades and quotes},
journal = {Econometrics Journal},
year = 2009,
pages = {},
volume = {},
note = {Forthcoming},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/RKpractice-ECTJ.pdf}
}
@article{BarndorffNielsenHansenLundeShephard(06subsampling),
author = {Barndorff-Nielsen, Ole E and Peter Reinhard Hansen and Asger Lunde and Neil Shephard},
title = {Subsampling realised kernels},
journal = {Journal of Econometrics},
volume = {},
year = 2009,
note = {Forthcoming},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/subsampling.pdf}
}
@article{BarndorffNielsenShephard(01jrssb),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Non-{G}aussian {O}rnstein--{U}hlenbeck-based models and some of their
uses in financial economics (with discussion)},
journal = {Journal of the Royal Statistical Society, Series B},
volume = 63,
year = 2001,
pages = {167--241},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/jrssb01.pdf}
}
@article{BarndorffNielsenShephard(02realised),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Econometric analysis of realised volatility and its use in estimating
stochastic volatility models},
journal = {Journal of the Royal Statistical Society, Series B},
volume = 64,
year = 2002,
pages = {253-280}
}
@article{BarndorffNielsenShephard(01egh),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Normal Modified Stable Processes},
journal = {Theory of Probability and Mathematical Statistics},
volume = 65,
pages = {1--19},
year = 2001
}
@article{BarndorffNielsenShephard(03intou),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Integrated \uppercase{OU} processes and non-\uppercase{G}aussian \uppercase{OU}-based stochastic volatility},
journal = {Scandinavian Journal of Statistics},
pages = {277--295},
year = 2003,
volume = 30
}
@article{BarndorffNielsenShephard(03bernoulli),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Realised power variation and stochastic volatility},
journal = {Bernoulli},
volume = {9},
pages = {243--265},
note = {Correction published in pages 1109--1111},
year = 2003
}
@article{BarndorffNielsenShephard(06theory),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Power variation and time change},
journal = {Theory of Probability and Its Applications},
volume = 50,
pages = {1--15},
year = 2005
}
@article{BarndorffNielsenShephard(02jae),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Estimating quadratic variation using realised variance},
journal = {Journal of Applied Econometrics},
year = 2002,
volume = 17,
pages = {457--477}
}
@article{BarndorffNielsenNicolatoShephard(02qf),
author = {Barndorff-Nielsen, Ole E and Elisa Nicolato and
Neil Shephard},
title = {Some recent developments in stochastic volatility modelling},
journal = {Quantitative Finance},
year = 2002,
volume = {2},
pages = {11-23}
}
@article{BarndorffNielsenShephard(04jfe),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Power and bipower variation with stochastic volatility and jumps (with discussion)},
journal = {Journal of Financial Econometrics},
volume = 2,
pages = {1--48},
year = 2004
}
@article{BarndorffNielsenShephard(06je),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Impact of jumps on returns and realised variances: econometric analysis of
time-deformed \uppercase{L}\'evy processes},
journal = {Journal of Econometrics},
year = 2006,
pages = {217--252},
volume = 131
}
@article{BarndorffNielsenShephardGraversen(04jap),
author = {Barndorff-Nielsen, Ole E and
Svend Erik Graversen and Neil Shephard},
title = {Power variation and stochastic volatility: a review and some new results},
journal = {Journal of Applied Probability},
editor = {Gani, Joe and E Sentana},
booktitle = {Stochastic Models and Their Applications},
year = 2004,
volume = {41A},
pages = {133--143}
}
@article{BarndorffNielsenShephard(06test),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Econometrics of testing for jumps in financial economics using bipower variation},
journal = {Journal of Financial Econometrics},
volume = 4,
pages = {1--30},
year = 2006
}
@article{BarndorffNielsenShephard(04multi),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Econometric analysis of realised covariation: high frequency covariance,
regression and correlation in financial economics},
journal = {Econometrica},
volume = 72,
pages = {885--925},
year = 2004
}
@article{BarndorffNielsenGraversenJacodShephard(06),
author = {Barndorff-Nielsen, Ole E and Sven Eric Graversen and Jean Jacod and Neil Shephard},
title = {Limit theorems for realised bipower variation in econometrics},
journal = {Econometric Theory},
volume = 22,
pages = {677--719},
year = 2006
}
@article{BarndorffNielsenShephardWinkel(06),
author = {Barndorff-Nielsen, Ole E and Neil Shephard and M Winkel},
title = {Limit theorems for multipower variation in the presence of jumps},
journal = {Stochastic Processes and Their Applications},
volume = 116,
pages = {796--806},
year = 2006
}
@article{BecRahbekShephard(08),
author = {Bec, Frederique and Anders Rahbek and Neil Shephard},
title = {The \uppercase{ACR} model: a multivariate dynamic mixture autoregression},
journal = {Oxford Bulletin of Economics and Statistics},
year = 2008,
volume = 70,
pages = {583--618},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/OBESBRS.pdf}
}
@article{BosShephard(06),
author = {Bos, Charles and Neil Shephard},
title = {Inference for adaptive time series models: stochastic volatility and conditionally
\uppercase{G}aussian state space form},
journal = {Econometric Reviews},
year = 2006,
volume = 25,
pages = {219--244}
}
@article{ChibNardariShephard(02),
author = {Chib, Siddhartha and Federico Nardari and Neil Shephard},
title = {Markov chain \uppercase{M}onte \uppercase{C}arlo methods for generalized stochastic volatility models},
journal = {Journal of Econometrics},
year = 2002,
pages = {281-316},
volume = 108
}
@article{ChibNardariShephard(06),
author = {Chib, Siddhartha and Federico Nardari and Neil Shephard},
title = {Analysis of high dimensional multivariate stochastic volatility models},
journal = {Journal of Econometrics},
volume = 134,
pages = {341--371},
year = 2006
}
@article{OmoriChibShephardNakajima(07),
author = {Omori, Yasuhiro and Siddhartha Chib and Neil Shephard and Jouchi Nakajima},
title = {Stochastic volatility with leverage: fast and efficient likelihood inference},
journal = {Journal of Econometrics},
volume = 140,
pages = {425--449},
year = 2007,
url = {http://www.nuffield.ox.ac.uk/economics/papers/2004/w19/mixture28.pdf}
}
@article{deJongShephard(95),
author = {de~Jong, Piet and Neil Shephard},
title = {The simulation smoother for time series models},
journal = {Biometrika},
volume = 82,
year = 1995,
pages = {339-350},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/simsmo.pdf}
}
@article{DoornikHendryShephard(06),
author = {Doornik, Jurgen A and David F Hendry and Neil Shephard},
title = {Computationally-intensive econometrics using a distributed matrix-programming language},
journal = {Philosophical Transactions of the Royal Society of London, Series A},
volume = 360,
year = 2002,
pages = {1245--1266}
}
@article{ElerianChibShephard(01),
author = {Elerian, Ola and Siddhartha Chib and Neil Shephard},
title = {Likelihood inference for discretely observed non-linear diffusions},
journal = {Econometrica},
volume = 69,
year = 2001,
pages = {959--993},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/elerian-chib-shephard.pdf}
}
@article{FiorentiniSentanaShephard(04),
author = {Fiorentini, Gabriele and Enrique Sentana and Neil Shephard},
title = {Likelihood-based estimation of latent generalised \uppercase{ARCH} structures},
journal = {Econometrica},
year = 2004,
volume = 72,
pages = {1481--1517}
}
@article{HarveyRuizShephard(94),
author = {Harvey, Andrew C and Esther Ruiz and Neil Shephard},
title = {Multivariate Stochastic Variance Models},
journal = {Review of Economic Studies},
year = 1994,
volume = 61,
pages = {247--264},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/multiSV.pdf}
}
@article{HarveyShephard(96),
author = {Harvey, Andrew C and Neil Shephard},
title = {The estimation of an asymmetric stochastic volatility model for
asset returns},
journal = {Journal of Business and Economic Statistics},
volume = 14,
pages = {429--434 },
year = 1996
}
@article{KimShephardChib(98),
author = {Sangjoon Kim and Neil Shephard and Siddhartha Chib},
title = {Stochastic Volatility: likelihood inference and
comparison with \uppercase{ARCH} models},
journal = {Review of Economic Studies},
volume = 65,
pages = {361--393},
year = 1998
}
@article{KoopmanShephard(92),
author = {Koopman, Siem Jan and Neil Shephard},
title = {Exact score for time series models in state space form},
journal = {Biometrika},
volume = 79,
pages = {823--6},
year = 1992
}
@article{KoopmanShephardDoornik(99),
author = {Koopman, Siem Jan and Neil
Shephard and Jurgen A Doornik},
title = {Statistical algorithms for models in state space using \uppercase{S}sf\uppercase{P}ack 2.2},
journal = {The Econometrics Journal},
volume = 2,
pages = {107-166 },
year = 1999
}
@article{KoopmanCrealShephard(09),
author = {Koopman, Siem Jan and D Creal and Neil Shephard},
title = {Testing the Assumptions Behind Importance Sampling},
journal = {Journal of Econometrics},
year = 2009,
note = {Forthcoming},
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/testingimport.pdf}
}
@article{ManriqueShephard(98),
author = {Manrique, Aurora and Neil Shephard},
title = {Simulation based likelihood inference for \uppercase{G}aussian limited dependent processes},
journal = {The Econometrics Journal},
volume = 1,
pages = {C174--C202},
year = 1998
}
@article{NielsenShephard(03),
author = {Nielsen, Bent and Neil Shephard},
title = {Likelihood analysis of a first order autoregressive model with exponential innovations},
journal = {Journal of Time Series Analysis},
year = 2003,
volume = 24,
pages = {337--344}
}
@article{PittShephard(99jtsa),
author = {Michael K Pitt and Neil Shephard},
title = {Analytic convergence rates and parameterisation issues for the
\uppercase{G}ibbs sampler applied to state space models},
journal = {Journal of Time Series Analysis},
volume = 21,
pages = {63-85},
year = 1999
}
@article{PittShephard(99jasa),
author = {Michael K Pitt and Neil Shephard},
title = {Filtering via simulation: auxiliary particle filter},
journal = {Journal of the American Statistical Association},
volume = 94,
pages = {590-599},
year = 1999,
url = {http://www.oxford-man.ox.ac.uk/~nshephard/papers/filtersim.pdf}
}
@article{RydbergShephard(03),
author = {Rydberg, Tina Hviid and Neil Shephard},
title = {Dynamics of trade-by-trade price movements: decomposition and
models},
journal = {Journal of Financial Econometrics},
volume = 1,
pages = {2--25},
year = 2003
}
@article{Shephard(91),
author = {Shephard, Neil},
title = {Numerical integration rules for multivariate inversions},
journal = {Journal of Statistical Computation and Simulation},
volume = 39,
year = 1991,
pages = {37--46}
}
@article{Shephard(91ET),
author = {Shephard, Neil},
title = {From characteristic function to distribution function: a simple framework for the theory},
journal = {Econometric Theory},
volume = 7,
year = 1991,
pages = {519--529}
}
@article{HarveyShephard(90),
author = {Harvey, Andrew C and Neil Shephard},
title = {On the probability of estimating a deterministic component in the local level model},
journal = {Journal of Time Series Analysis},
volume = 11,
year = 1990,
pages = {339--347}
}
@article{Shephard(93jae),
author = {Shephard, Neil},
title = {Fitting non-linear time series models, with applications to stochastic
variance models},
journal = {Journal of Applied Econometrics},
volume = {8},
pages = {S135--52},
year = 1993
}
@article{Shephard(93jasa),
author = {Shephard, Neil},
title = {Maximum likelihood estimation of regression models
wit stochastic trend components},
journal = {Journal of the American Statistical Association},
volume = 88,
year = 1993,
pages = {590--595}
}
@article{Shephard(93et),
author = {Shephard, Neil},
title = {Distribution of the \uppercase{ML} estimator of an \uppercase{MA(1)}
and a local level model},
journal = {Econometric Theory},
volume = 9,
pages = {377-401},
year = 1993
}
@article{Shephard(94je),
author = {Shephard, Neil},
title = {Local Scale model: state space alternative to integrated
\uppercase{GARCH} processes},
journal = {Journal of Econometrics},
volume = {60},
pages = {181--202},
year = 1994
}
@article{Shephard(94b),
author = {Shephard, Neil},
title = {Partial Non-\uppercase{G}aussian State Space},
journal = {Biometrika},
volume = 81,
year = 1994,
pages = {115-131}
}
@article{ShephardPitt(97),
author = {Shephard, Neil and Michael K Pitt},
title = {Likelihood analysis of non-\uppercase{G}aussian measurement time series},
journal = {Biometrika},
volume = 84,
pages = {653-667},
year = 1997
}
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