@comment{{This file has been generated by bib2bib 1.92}}
@comment{{Command line: bib2bib -oc nsart -ob shepcom.bib -c "author : 'Shephard' and $type = 'INCOLLECTION'" neil.bib}}
@incollection{AtkinsonKoopmanShephard(94),
author = {Atkinson, Anthony C and Siem Jan Koopman and Neil Shephard},
title = {Outliers and Switches in Time Series},
year = 1994,
editor = {Mandl, P and M. Huskova},
booktitle = {Asymptotic Statistics},
address = {Heidelberg},
publisher = {Physica-Verlag},
pages = {35--48}
}
@incollection{BarndorffNielsenShephard(01Levy),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Modelling by \uppercase{L}\'evy processes for financial econometrics},
editor = {Barndorff-Nielsen, Ole E and T Mikosch and Sid Resnick},
booktitle = {L\'evy Processes -- Theory and Applications},
publisher = {{Birkh\"auser}},
address = {Boston},
year = 2001,
pages = {283--318}
}
@incollection{BarndorffNielsenShephard(05tom),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {How accurate is the asymptotic approximation to the distribution of realised volatility?},
editor = {Donald W K Andrews and James H Stock},
booktitle = {Identification and Inference for Econometric Models.
{A} Festschrift in Honour of {T.J. Rothenberg}},
publisher = {Cambridge University Press},
address = {Cambridge},
year = 2005,
pages = {306--331}
}
@incollection{BarndorffNielsenShephard(07world),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Variation, jumps and high frequency data in financial econometrics},
editor = {Blundell, Richard and Torsten Persson and Whitney K Newey},
booktitle = {Advances in Economics and Econometrics. Theory and Applications, Ninth World Congress},
series = {Econometric Society Monographs},
publisher = {Cambridge University Press},
pages = {328--372},
year = 2007
}
@incollection{BarndorffNielsenNielsenShephardYsusi(04durbin),
author = {Barndorff-Nielsen, Ole E and Bent Nielsen and
Neil Shephard and Carla Ysusi},
title = {Measuring and forecasting financial variability using realised variance with and without a model},
editor = {Andrew C Harvey and Siem Jan Koopman and Neil Shephard},
booktitle = {State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin},
publisher = {Cambridge University Press},
address = {Cambridge},
year = 2004,
pages = {205--235}
}
@incollection{BarndorffNielsenShephard(05multipower),
author = {Barndorff-Nielsen, Ole E and Neil Shephard},
title = {Multipower variation and stochastic volatility},
booktitle = {Stochastic Finance},
editor = {Shiryaev, A.N. and M.R. Grossinho and P.E. Oliveira and M.L. Esquivel},
publisher = {Springer},
year = 2005,
pages = {73--82}
}
@incollection{BarndorffNielsenGraversenJacodPodolskyShephard(06shiryaev),
author = {Barndorff-Nielsen, Ole E and Sven Eric Graversen and
Jean Jacod and Mark Podolskij and Neil Shephard},
title = {A central limit theorem for realised power and bipower variations of
continuous semimartingales},
editor = {Yuri Kabanov and Robert Lipster and Jordan Stoyanov},
booktitle = {From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev},
publisher = {Springer},
address = {},
pages = {33--68},
year = 2006
}
@incollection{BarndorffNielsenKinnebrouckShephard(08),
author = {Barndorff-Nielsen, Ole E and Sylvia Kinnebrouck and Neil Shephard},
title = {Measuring downside risk: realised semivariance},
booktitle = {Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle},
editor = {Bollerslev, Tim and Jeff Russell and Mark Watson},
publisher = {Oxford University Press},
note = {Forthcoming},
year = 2009
}
@incollection{DoornikHendryShephard(06coll),
author = {Doornik, Jurgen A and David F Hendry and Neil Shephard},
title = {Parallel Computation in Econometrics: A Simplified Approach},
booktitle = {Handbook of Parallel Computing and Statistics},
editor = {Kontoghiorghes, John},
publisher = {Chapman and Hall},
year = 2006,
pages = {449--476}
}
@incollection{HarveyShephard(93stat),
author = {Harvey, Andrew C and Neil Shephard},
title = {Structural time series models},
booktitle = {Handbook of Statistics, Volume 11},
editor = {Maddala, G S and C R Rao and H D Vinod},
year = 1993,
publisher = {Elsevier Science Publishers B V},
address = {Amsterdam}
}
@incollection{PittShephard(99multi),
author = {Pitt, Michael K and Neil Shephard},
title = {Time varying covariances: a factor
stochastic volatility approach (with discussion)},
booktitle = {Bayesian Statistics 6},
editor = {Bernardo, J M and Berger, J O and A P Dawid and A F M Smith},
year = 1999,
pages = {547-570},
publisher = {Oxford University Press},
address = {Oxford}
}
@incollection{PittShephard(01),
author = {Michael K Pitt and Neil Shephard},
title = {Auxiliary variable based particle filters},
booktitle = {Sequential Monte Carlo Methods in Practice},
editor = {de~Freitas, Nando and Arnaud Doucet and Neil J Gordon},
publisher = {Springer-Verlag},
address = {New York},
year = 2001,
pages = {273--293}
}
@incollection{RydbergShephard(00),
author = {Rydberg, Tina Hviid and Neil Shephard},
title = {A Modelling Framework for the Prices and Times of Trades made on the \uppercase{NYSE}},
booktitle = {Nonlinear and Nonstationary Signal Processing},
editor = {W. J. Fitzgerald and R. L. Smith and A. T. Walden and P. C. Young},
year = 2000,
pages = {217--246},
address = {Cambridge},
publisher = {Isaac Newton Institute and Cambridge University Press}
}
@incollection{Shephard(96),
author = {Shephard, Neil},
title = {Statistical aspects of \uppercase{ARCH} and stochastic volatility},
booktitle = {Time Series Models in Econometrics, Finance and Other
Fields},
editor = {Cox, David R and David V Hinkley and Ole E Barndorff-Nielsen},
publisher = {Chapman \& Hall},
address = {London},
year = 1996,
pages = {1--67}
}
@incollection{Shephard(05SV),
author = {Shephard, Neil},
title = {Introduction},
booktitle = {Stochastic Volatility: Selected Readings},
editor = {Shephard, Neil},
publisher = {Oxford University Press},
year = 2006,
pages = {1--33}
}
@incollection{Shephard(05DRC),
author = {Shephard, Neil},
title = {Are there discontinuities in financial prices?},
booktitle = {Celebrating Statistics: Papers in Honour of Sir David Cox on his 80th Birthday},
editor = {Davison, A and Y. Dodge and N. Wermuth},
publisher = {Oxford University Press},
year = 2005,
pages = {213--231}
}
@incollection{Shephard(07palgrave),
author = {Shephard, Neil},
title = {Stochastic volatility},
booktitle = {New Palgrave Dictionary of Economics},
edition = 2,
editor = {Durlauf, Steven and Lawrence Blume},
publisher = {Palgrave Macmillan},
year = 2008
}
@incollection{ShephardAndersen(09),
author = {Shephard, Neil and Torben G Andersen},
title = {Stochastic Volatility: Origins and Overview},
editor = {Andersen, T G and R.A. Davis and J.-P. Kreiss and T. Mikosch},
booktitle = {Handbook of Financial Time Series},
publisher = springer,
address = {},
pages = {},
note = {Forthcoming},
year = 2009
}
This file was generated by bibtex2html 1.92.