Details about Neil Shephard

E-mail:	shephard@fas.harvard.edu
Homepage:	http://www.people.fas.harvard.edu/~shephard/
Workplace:	Department of Economics, Harvard University, (more information at EDIRC)

Access statistics for papers by Neil Shephard.

Last updated 2019-10-15. Update your information in the RePEc Author Service.

Short-id: psh10

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Working Papers

2025

1. When do common time series estimands have nonparametric causal meaning?
   Papers, arXiv.org View citations (5)

2016

2. How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background
   Working Paper, Harvard University OpenScholar View citations (23)
   Also in IFS Working Papers, Institute for Fiscal Studies (2016) View citations (23)
3. Moment conditions and Bayesian nonparametrics
   Working Paper, Harvard University OpenScholar
   See also Journal Article Moment conditions and Bayesian non‐parametrics, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2019) View citations (8) (2019)

2015

4. Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession
   IFS Working Papers, Institute for Fiscal Studies View citations (7)
5. Continuous time analysis of fleeting discrete price moves
   Papers, arXiv.org View citations (1)
   Also in Working Paper, Harvard University OpenScholar
   See also Journal Article Continuous Time Analysis of Fleeting Discrete Price Moves, Journal of the American Statistical Association, Taylor & Francis Journals (2017) View citations (7) (2017)

2013

6. Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality
   Economics Papers, Economics Group, Nuffield College, University of Oxford
7. Martingale unobserved component models
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (10)
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2013) View citations (10)

2012

8. Basics of Levy processes
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) View citations (4)
9. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) View citations (6)
10. Efficient and feasible inference for the components of financial variation using blocked multipower variation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (13)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2012) View citations (13)
11. Multivariate Rotated ARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (19)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) View citations (5)
    See also Journal Article Multivariate rotated ARCH models, Journal of Econometrics, Elsevier (2014) View citations (32) (2014)
12. Robust inference on parameters via particle filters and sandwich covariance matrices
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2012) View citations (6)

2011

13. Multivariate High-Frequency-Based Volatility (HEAVY) Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (33)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2011) View citations (26)
    See also Journal Article Multivariate high‐frequency‐based volatility (HEAVY) models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (110) (2012)
14. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Post-Print, HAL View citations (254)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (33)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (37)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) View citations (6)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (29)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (37)
    See also Journal Article Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Journal of Econometrics, Elsevier (2011) View citations (291) (2011)

2010

15. Deferred fees for universities
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    See also Journal Article DEFERRED FEES FOR UNIVERSITIES, Economic Affairs, Wiley Blackwell (2010) (2010)
16. Discrete-valued Levy processes and low latency financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010)
17. Integer-valued Lévy processes and low latency financial econometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
18. Submission to the review on “Higher Education Funding and Student Finance”
    Economics Papers, Economics Group, Nuffield College, University of Oxford

2009

19. Income contingent tuition fees for universities
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2009)
    OFRC Working Papers Series, Oxford Financial Research Centre (2009)
20. Learning and filtering via simulation: smoothly jittered particle filters
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (8)
21. Nuisance parameters, composite likelihoods and a panel of GARCH models
    OFRC Working Papers Series, Oxford Financial Research Centre
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2009)
    Economics Series Working Papers, University of Oxford, Department of Economics (2009) View citations (15)
22. Realising the future: forecasting with high frequency based volatility (HEAVY) models
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (17)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2009) View citations (18)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2009) View citations (21)
    See also Journal Article Realising the future: forecasting with high-frequency-based volatility (HEAVY) models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (249) (2010)

2008

23. Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (19)
    See also Journal Article BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS, Econometric Theory, Cambridge University Press (2011) View citations (77) (2011)
24. Fitting vast dimensional time-varying covariance models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (135)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (132)
25. Measuring downside risk - realised semivariance
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (50)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (49)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (32)
26. Modelling and measuring volatility
    OFRC Working Papers Series, Oxford Financial Research Centre
27. Stochastic Volatility: Origins and Overview
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (10)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (10)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (10)
28. The ACR model: a multivariate dynamic mixture autoregression
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (33)
    See also Journal Article The ACR Model: A Multivariate Dynamic Mixture Autoregression*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (32) (2008)

2006

29. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (77)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (48)
    See also Journal Article Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise, Econometrica, Econometric Society (2008) View citations (747) (2008)
30. Subsampling realised kernels
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) View citations (8)
    Economics Series Working Papers, University of Oxford, Department of Economics (2006) View citations (5)
    See also Journal Article Subsampling realised kernels, Journal of Econometrics, Elsevier (2011) View citations (41) (2011)

2005

31. Limit theorems for bipower variation in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (23)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations (4)
    See also Journal Article LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS, Econometric Theory, Cambridge University Press (2006) View citations (86) (2006)
32. Limit theorems for multipower variation in the presence of jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (32)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations (2)
    See also Journal Article Limit theorems for multipower variation in the presence of jumps, Stochastic Processes and their Applications, Elsevier (2006) View citations (107) (2006)
33. Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (166)
34. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Center for Research in Economics and Statistics View citations (4)
35. Variation, jumps, market frictions and high frequency data in financial econometrics
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (21)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (25)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations (23)

2004

36. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (29)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (28)
37. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (6)
38. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations (10)
    See also Journal Article Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation, Journal of Financial Econometrics, Oxford University Press (2006) View citations (692) (2006)
39. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2004) View citations (2)
    See also Journal Article Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Econometric Reviews, Taylor & Francis Journals (2006) View citations (21) (2006)
40. Likelihood based inference for diffusion driven models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (11)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (11)
41. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (43)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (4)
    Working Papers, CEMFI (2002)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2002)
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations (4)
    FMG Discussion Papers, Financial Markets Group (2003) View citations (5)
    See also Journal Article Likelihood-Based Estimation of Latent Generalized ARCH Structures, Econometrica, Econometric Society (2004) View citations (38) (2004)
42. Multipower Variation and Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (1)
43. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford
44. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (31)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (31)
45. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (7)
46. Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

2003

47. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
    See also Journal Article Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes, Journal of Econometrics, Elsevier (2006) View citations (34) (2006)
48. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (13)
49. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)

2002

50. Autoregressive conditional root model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (13)
51. Dynamics of trade-by-trade price movements: decomposition and models
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (1)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2002) View citations (5)
    See also Journal Article Dynamics of Trade-by-Trade Price Movements: Decomposition and Models, Journal of Financial Econometrics, Oxford University Press (2003) View citations (94) (2003)
52. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (27)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2002) View citations (12)
53. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
54. Power Variation and Time Change
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
55. Testing the Assumptions Behind the Use of Importance Sampling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)

2001

56. Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
57. Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (38)
    See also Journal Article Econometric analysis of realized volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2002) View citations (1202) (2002)
58. Estimating quadratic variation using realised volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
59. Higher order variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
60. How accurate is the asymptotic approximation to the distribution of realised volatility?
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (27)
61. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
62. Normal Modified Stable Processes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (43)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (43)
63. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (22)
64. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
    See also Journal Article Some recent developments in stochastic volatility modelling, Quantitative Finance, Taylor & Francis Journals (2002) View citations (39) (2002)

2000

65. BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (14)
66. Likelihood inference for discretely observed non-linear diffusions
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (3)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1998) View citations (127)
    See also Journal Article Likelihood Inference for Discretely Observed Nonlinear Diffusions, Econometrica, Econometric Society (2001) View citations (108) (2001)
67. Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford
68. Non-Gaussian OU based models and some of their uses in financial economics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (11)

1998

69. Aggregation and Model Construction for Volatility Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
70. Statistical Algorithms for Models in State Space Using SsfPack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research View citations (11)
    See also Journal Article Statistical algorithms for models in state space using SsfPack 2.2, Econometrics Journal, Royal Economic Society (1999) View citations (260) (1999)

1996

71. Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
    See also Journal Article Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models, Journal of Time Series Analysis, Wiley Blackwell (1999) View citations (13) (1999)
72. STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
    Econometrics, University Library of Munich, Germany View citations (14)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (1994) View citations (15)
    See also Journal Article Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, The Review of Economic Studies, Review of Economic Studies Ltd (1998) View citations (1279) (1998)

1995

73. Generalized linear autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (20)
74. Likelihood Analysis of Non-Gaussian Parameter-Driven Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1995) View citations (21)

1993

75. Estimation and Testing of Stochastic Variance Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (25)

1992

76. Deletion Diagnostics and Transformations for Time Series
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
77. Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (5)

1990

78. A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Undated

79. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
80. Filtering via simulation: auxiliary particle filters
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (23)
81. Likelihood Inference for Exponential-Trawl Processes
    Working Paper, Harvard University OpenScholar
82. The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)

Journal Articles

2019

1. A comparison of sample survey measures of earnings of English graduates with administrative data
   Journal of the Royal Statistical Society Series A, 2019, 182, (3), 719-754 View citations (11)
2. Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates
   Oxford Bulletin of Economics and Statistics, 2019, 81, (2), 328-368 View citations (2)
3. Moment conditions and Bayesian non‐parametrics
   Journal of the Royal Statistical Society Series B, 2019, 81, (1), 5-43 View citations (8)
   See also Working Paper Moment conditions and Bayesian nonparametrics, Working Paper (2016) (2016)

2017

4. Continuous Time Analysis of Fleeting Discrete Price Moves
   Journal of the American Statistical Association, 2017, 112, (519), 1090-1106 View citations (7)
   See also Working Paper Continuous time analysis of fleeting discrete price moves, Papers (2015) View citations (1) (2015)
5. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
   Journal of Econometrics, 2017, 201, (1), 19-42 View citations (5)

2016

6. Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
   Journal of Business & Economic Statistics, 2016, 34, (4), 504-518 View citations (28)

2014

7. Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
   Scandinavian Journal of Statistics, 2014, 41, (3), 693-724 View citations (10)
8. Multivariate rotated ARCH models
   Journal of Econometrics, 2014, 179, (1), 16-30 View citations (32)
   See also Working Paper Multivariate Rotated ARCH Models, Economics Papers (2012) View citations (19) (2012)

2012

9. Integer-valued L�vy processes and low latency financial econometrics
   Quantitative Finance, 2012, 12, (4), 587-605 View citations (21)
10. Multivariate high‐frequency‐based volatility (HEAVY) models
    Journal of Applied Econometrics, 2012, 27, (6), 907-933 View citations (110)
    See also Working Paper Multivariate High-Frequency-Based Volatility (HEAVY) Models, Economics Series Working Papers (2011) View citations (33) (2011)

2011

11. BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
    Econometric Theory, 2011, 27, (5), 933-956 View citations (77)
    See also Working Paper Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models, OFRC Working Papers Series (2008) View citations (19) (2008)
12. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
    Journal of Econometrics, 2011, 162, (2), 149-169 View citations (291)
    See also Working Paper Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Post-Print (2011) View citations (254) (2011)
13. Realized Volatility
    Journal of Econometrics, 2011, 160, (1), 1-1 View citations (52)
14. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 View citations (41)
    See also Working Paper Subsampling realised kernels, Economics Papers (2006) View citations (5) (2006)

2010

15. DEFERRED FEES FOR UNIVERSITIES
    Economic Affairs, 2010, 30, (2), 40-44
    See also Working Paper Deferred fees for universities, Economics Papers (2010) (2010)
16. Realising the future: forecasting with high-frequency-based volatility (HEAVY) models
    Journal of Applied Econometrics, 2010, 25, (2), 197-231 View citations (249)
    See also Working Paper Realising the future: forecasting with high frequency based volatility (HEAVY) models, OFRC Working Papers Series (2009) View citations (17) (2009)

2009

17. Realized kernels in practice: trades and quotes
    Econometrics Journal, 2009, 12, (3), C1-C32 View citations (345)
18. Testing the assumptions behind importance sampling
    Journal of Econometrics, 2009, 149, (1), 2-11 View citations (34)

2008

19. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
    Econometrica, 2008, 76, (6), 1481-1536 View citations (747)
    See also Working Paper Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, Economics Papers (2006) View citations (77) (2006)
20. The ACR Model: A Multivariate Dynamic Mixture Autoregression*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations (32)
    See also Working Paper The ACR model: a multivariate dynamic mixture autoregression, THEMA Working Papers (2008) View citations (33) (2008)

2007

21. Stochastic volatility with leverage: Fast and efficient likelihood inference
    Journal of Econometrics, 2007, 140, (2), 425-449 View citations (301)

2006

22. Analysis of high dimensional multivariate stochastic volatility models
    Journal of Econometrics, 2006, 134, (2), 341-371 View citations (170)
23. Comment
    Journal of Business & Economic Statistics, 2006, 24, 179-181
24. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
    Journal of Financial Econometrics, 2006, 4, (1), 1-30 View citations (692)
    See also Working Paper Econometrics of testing for jumps in financial economics using bipower variationÂ, OFRC Working Papers Series (2004) View citations (6) (2004)
25. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Journal of Econometrics, 2006, 131, (1-2), 217-252 View citations (34)
    See also Working Paper Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes, Economics Papers (2003) View citations (4) (2003)
26. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Econometric Reviews, 2006, 25, (2-3), 219-244 View citations (21)
    See also Working Paper Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Economics Papers (2004) View citations (2) (2004)
27. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
    Econometric Theory, 2006, 22, (4), 677-719 View citations (86)
    See also Working Paper Limit theorems for bipower variation in financial econometrics, Economics Papers (2005) View citations (23) (2005)
28. Limit theorems for multipower variation in the presence of jumps
    Stochastic Processes and their Applications, 2006, 116, (5), 796-806 View citations (107)
    See also Working Paper Limit theorems for multipower variation in the presence of jumps, Economics Papers (2005) View citations (32) (2005)

2004

29. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 View citations (410)
30. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations (38)
    See also Working Paper Likelihood-based estimation of latent generalised ARCH structures, OFRC Working Papers Series (2004) View citations (43) (2004)

2003

31. Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
    Journal of Financial Econometrics, 2003, 1, (1), 2-25 View citations (94)
    See also Working Paper Dynamics of trade-by-trade price movements: decomposition and models, OFRC Working Papers Series (2002) View citations (1) (2002)
32. Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
    Scandinavian Journal of Statistics, 2003, 30, (2), 277-295 View citations (39)
33. Likelihood analysis of a first‐order autoregressive model with exponential innovations
    Journal of Time Series Analysis, 2003, 24, (3), 337-344 View citations (10)

2002

34. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
    Journal of the Royal Statistical Society Series B, 2002, 64, (2), 253-280 View citations (1202)
    See also Working Paper Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models, Economics Series Working Papers (2001) View citations (6) (2001)
35. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 View citations (276)
36. Markov chain Monte Carlo methods for stochastic volatility models
    Journal of Econometrics, 2002, 108, (2), 281-316 View citations (279)
37. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 325-27 View citations (2)
38. Some recent developments in stochastic volatility modelling
    Quantitative Finance, 2002, 2, (1), 11-23 View citations (39)
    See also Working Paper Some recent developments in stochastic volatility modelling, Economics Papers (2001) View citations (3) (2001)

2001

39. Likelihood Inference for Discretely Observed Nonlinear Diffusions
    Econometrica, 2001, 69, (4), 959-93 View citations (108)
    See also Working Paper Likelihood inference for discretely observed non-linear diffusions, OFRC Working Papers Series (2000) View citations (3) (2000)
40. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
    Journal of the Royal Statistical Society Series B, 2001, 63, (2), 167-241 View citations (560)

1999

41. Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
    Journal of Time Series Analysis, 1999, 20, (1), 63-85 View citations (13)
    See also Working Paper Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models, Economics Papers (1996) View citations (4) (1996)
42. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (260)
    See also Working Paper Statistical Algorithms for Models in State Space Using SsfPack 2.2, Discussion Paper (1998) View citations (11) (1998)

1998

43. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
44. Simulation-based likelihood inference for limited dependent processes
    Econometrics Journal, 1998, 1, (ConferenceIssue), C174-C202 View citations (11)
45. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
    The Review of Economic Studies, 1998, 65, (3), 361-393 View citations (1279)
    See also Working Paper STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS, Econometrics (1996) View citations (14) (1996)

1997

46. Detecting shocks: Outliers and breaks in time series
    Journal of Econometrics, 1997, 80, (2), 387-422 View citations (26)

1996

47. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
    Journal of Business & Economic Statistics, 1996, 14, (4), 429-34 View citations (257)

1994

48. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 406-10 View citations (6)
49. Local scale models: State space alternative to integrated GARCH processes
    Journal of Econometrics, 1994, 60, (1-2), 181-202 View citations (29)
50. Multivariate Stochastic Variance Models
    The Review of Economic Studies, 1994, 61, (2), 247-264 View citations (617)

1993

51. Distribution of the ML Estimator of an MA(1) and a local level model
    Econometric Theory, 1993, 9, (3), 377-401 View citations (15)
52. Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models
    Journal of Applied Econometrics, 1993, 8, (S), S135-52 View citations (38)

1991

53. From Characteristic Function to Distribution Function: A Simple Framework for the Theory
    Econometric Theory, 1991, 7, (4), 519-529 View citations (50)

1990

54. ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
    Journal of Time Series Analysis, 1990, 11, (4), 339-347 View citations (48)

Edited books

2015

1. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
   OUP Catalogue, Oxford University Press
2. Unobserved Components and Time Series Econometrics
   OUP Catalogue, Oxford University Press View citations (10)

2012

3. State Space and Unobserved Component Models
   Cambridge Books, Cambridge University Press

2009

4. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
   OUP Catalogue, Oxford University Press View citations (102)

2005

5. Stochastic Volatility: Selected Readings
   OUP Catalogue, Oxford University Press View citations (228)