EconPapers    
Economics at your fingertips  
 

Details about Neil Shephard

E-mail:
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 2013-09-26. Update your information in the RePEc Author Service.

Short-id: psh10


Jump to Journal Articles Edited books

Working Papers

2013

  1. 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 Downloads
  2. Martingale unobserved component models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2013) Downloads View citations (2)

2012

  1. Basics of Levy processes
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2012) Downloads
  2. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (3)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2012) Downloads View citations (3)
  3. Efficient and feasible inference for the components of financial variation using blocked multipower variation
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (6)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) Downloads View citations (6)
  4. Multivariate Rotated ARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) Downloads View citations (2)
  5. Robust inference on parameters via particle filters and sandwich covariance matrices
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) Downloads View citations (1)

2011

  1. Multivariate High-Frequency-Based Volatility (HEAVY) Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (6)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2012)

2010

  1. Deferred fees for universities
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    See also Journal Article in Economic Affairs (2010)
  2. Discrete-valued Levy processes and low latency financial econometrics
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010) Downloads
  3. Integer-valued Lévy processes and low latency financial econometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Quantitative Finance (2012)
  4. Submission to the review on “Higher Education Funding and Student Finance”
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

2009

  1. Income contingent tuition fees for universities
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2009) Downloads
    Economics Series Working Papers, University of Oxford, Department of Economics (2009) Downloads
  2. Learning and filtering via simulation: smoothly jittered particle filters
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
  3. Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (23)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) Downloads View citations (10)
    OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (27)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (23)

    See also Journal Article in Journal of Econometrics (2011)
  4. Nuisance parameters, composite likelihoods and a panel of GARCH models
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2009) Downloads
    Economics Series Working Papers, University of Oxford, Department of Economics (2009) Downloads View citations (9)
  5. Realising the future: forecasting with high frequency based volatility (HEAVY) models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (10)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2009) Downloads View citations (11)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2009) Downloads View citations (16)

    See also Journal Article in Journal of Applied Econometrics (2010)

2008

  1. Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (3)
    See also Journal Article in Econometric Theory (2011)
  2. Fitting vast dimensional time-varying covariance models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (72)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (64)
  3. Measuring downside risk - realised semivariance
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (4)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (4)
  4. Modelling and measuring volatility
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads
  5. Stochastic Volatility: Origins and Overview
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) Downloads View citations (4)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (5)
  6. The ACR model: a multivariate dynamic mixture autoregression
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (17)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2006

  1. 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 Downloads View citations (55)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (20)

    See also Journal Article in Econometrica (2008)
  2. Subsampling realised kernels
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2006) Downloads View citations (6)
    Economics Series Working Papers, University of Oxford, Department of Economics (2006) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2011)

2005

  1. Limit theorems for bipower variation in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (21)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2006)
  2. Limit theorems for multipower variation in the presence of jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (30)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (1)

    See also Journal Article in Stochastic Processes and their Applications (2006)
  3. Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (164)
  4. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)
  5. Variation, jumps, market frictions and high frequency data in financial econometrics
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (3)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) Downloads View citations (8)
    OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (1)

2004

  1. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (27)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (23)
  2. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (5)
  3. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) Downloads View citations (6)

    See also Journal Article in Journal of Financial Econometrics (2006)
  4. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2006)
  5. Likelihood based inference for diffusion driven models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (2)
  6. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (30)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) Downloads View citations (2)
    FMG Discussion Papers, Financial Markets Group (2003) Downloads View citations (3)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2002) Downloads

    See also Journal Article in Econometrica (2004)
  7. Multipower Variation and Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (1)
  8. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  9. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (16)
  10. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (6)
  11. 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 Downloads

2003

  1. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2006)
  2. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (8)
  3. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)

2002

  1. Autoregressive conditional root model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)
  2. Dynamics of trade-by-trade price movements: decomposition and models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2002) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2003)
  3. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (20)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2002) Downloads View citations (1)
  4. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
  5. Power Variation and Time Change
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
  6. Testing the Assumptions Behind the Use of Importance Sampling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)

2001

  1. 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 Downloads View citations (1)
  2. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (35)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2002)
  3. Estimating quadratic variation using realised volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
  4. Higher order variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  5. How accurate is the asymptotic approximation to the distribution of realised volatility?
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (26)
  6. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
  7. Normal modified stable processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
  8. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (19)
  9. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)
    See also Journal Article in Quantitative Finance (2002)

2000

  1. 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 Downloads View citations (2)
  2. Likelihood inference for discretely observed non-linear diffusions
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1998) View citations (94)

    See also Journal Article in Econometrica (2001)
  3. 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
  4. Non-Gaussian OU based models and some of their uses in financial economics
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (10)

1998

  1. Aggregation and Model Construction for Volatility Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (10)

1996

  1. Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
  2. STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
    Econometrics, EconWPA Downloads View citations (8)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1994) Downloads View citations (7)
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)

1995

  1. Generalized linear autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)
  2. 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) Downloads View citations (21)

Undated

  1. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)
  2. Filtering via simulation: auxiliary particle filters
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (21)
  3. 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 Downloads

Journal Articles

2012

  1. Integer-valued Lévy processes and low latency financial econometrics
    Quantitative Finance, 2012, 12, (4), 587-605 Downloads View citations (6)
    See also Working Paper (2010)
  2. Multivariate high‐frequency‐based volatility (HEAVY) models
    Journal of Applied Econometrics, 2012, 27, (6), 907-933 View citations (36)
    See also Working Paper (2011)

2011

  1. BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
    Econometric Theory, 2011, 27, (05), 933-956 Downloads View citations (39)
    See also Working Paper (2008)
  2. 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 Downloads View citations (90)
    See also Working Paper (2009)
  3. Realized Volatility
    Journal of Econometrics, 2011, 160, (1), 1-1 Downloads View citations (50)
  4. Subsampling realised kernels
    Journal of Econometrics, 2011, 160, (1), 204-219 Downloads View citations (21)
    See also Working Paper (2006)

2010

  1. DEFERRED FEES FOR UNIVERSITIES
    Economic Affairs, 2010, 30, (2), 40-44 Downloads
    See also Working Paper (2010)
  2. Realising the future: forecasting with high-frequency-based volatility (HEAVY) models
    Journal of Applied Econometrics, 2010, 25, (2), 197-231 Downloads View citations (74)
    See also Working Paper (2009)

2009

  1. Realized kernels in practice: trades and quotes
    Econometrics Journal, 2009, 12, (3), C1-C32 Downloads View citations (105)
  2. Testing the assumptions behind importance sampling
    Journal of Econometrics, 2009, 149, (1), 2-11 Downloads View citations (20)

2008

  1. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
    Econometrica, 2008, 76, (6), 1481-1536 Downloads View citations (240)
    See also Working Paper (2006)
  2. The ACR Model: A Multivariate Dynamic Mixture Autoregression
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 Downloads View citations (15)
    See also Working Paper (2008)

2007

  1. Stochastic volatility with leverage: Fast and efficient likelihood inference
    Journal of Econometrics, 2007, 140, (2), 425-449 Downloads View citations (102)

2006

  1. Analysis of high dimensional multivariate stochastic volatility models
    Journal of Econometrics, 2006, 134, (2), 341-371 Downloads View citations (79)
  2. Comment
    Journal of Business & Economic Statistics, 2006, 24, 179-181 Downloads
  3. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
    Journal of Financial Econometrics, 2006, 4, (1), 1-30 Downloads View citations (272)
    See also Working Paper (2004)
  4. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Journal of Econometrics, 2006, 131, (1-2), 217-252 Downloads View citations (27)
    See also Working Paper (2003)
  5. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Econometric Reviews, 2006, 25, (2-3), 219-244 Downloads View citations (14)
    See also Working Paper (2004)
  6. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
    Econometric Theory, 2006, 22, (04), 677-719 Downloads View citations (62)
    See also Working Paper (2005)
  7. Limit theorems for multipower variation in the presence of jumps
    Stochastic Processes and their Applications, 2006, 116, (5), 796-806 Downloads View citations (39)
    See also Working Paper (2005)

2004

  1. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 Downloads View citations (136)
  2. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 Downloads View citations (26)
    See also Working Paper (2004)

2003

  1. Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
    Journal of Financial Econometrics, 2003, 1, (1), 2-25 View citations (57)
    See also Working Paper (2002)
  2. Likelihood analysis of a first-order autoregressive model with exponential innovations
    Journal of Time Series Analysis, 2003, 24, (3), 337-344 Downloads View citations (7)

2002

  1. 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 Downloads View citations (533)
    See also Working Paper (2001)
  2. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 Downloads View citations (140)
  3. Markov chain Monte Carlo methods for stochastic volatility models
    Journal of Econometrics, 2002, 108, (2), 281-316 Downloads View citations (150)
  4. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 325-27 View citations (1)
  5. Some recent developments in stochastic volatility modelling
    Quantitative Finance, 2002, 2, (1), 11-23 Downloads View citations (16)
    See also Working Paper (2001)

2001

  1. Likelihood Inference for Discretely Observed Nonlinear Diffusions
    Econometrica, 2001, 69, (4), 959-93 View citations (74)
    See also Working Paper (2000)
  2. 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 Downloads View citations (306)

1999

  1. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (172)

1998

  1. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
  2. Simulation-based likelihood inference for limited dependent processes
    Econometrics Journal, 1998, 1, (ConferenceIssue), C174-C202 View citations (7)

1997

  1. Detecting shocks: Outliers and breaks in time series
    Journal of Econometrics, 1997, 80, (2), 387-422 Downloads View citations (15)

1996

  1. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
    Journal of Business & Economic Statistics, 1996, 14, (4), 429-34 View citations (149)

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 406-10 View citations (3)
  2. Local scale models: State space alternative to integrated GARCH processes
    Journal of Econometrics, 1994, 60, (1-2), 181-202 Downloads View citations (18)

1993

  1. Distribution of the ML Estimator of an MA(1) and a local level model
    Econometric Theory, 1993, 9, (03), 377-401 Downloads View citations (13)
  2. Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models
    Journal of Applied Econometrics, 1993, 8, (S), S135-52 Downloads View citations (19)

1992

  1. Tabulation of Farebrother's Test for Linear Restrictions
    Econometric Theory, 1992, 8, (04), 583-584 Downloads

1991

  1. From Characteristic Function to Distribution Function: A Simple Framework for the Theory
    Econometric Theory, 1991, 7, (04), 519-529 Downloads View citations (12)

Edited books

2012

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

2009

  1. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
    OUP Catalogue, Oxford University Press View citations (5)

2005

  1. Stochastic Volatility: Selected Readings
    OUP Catalogue, Oxford University Press View citations (98)

2004

  1. State Space and Unobserved Component Models
    Cambridge Books, Cambridge University Press View citations (3)
 
Page updated 2017-03-27