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Details about Kevin Sheppard

E-mail:
Homepage:http://www.kevinsheppard.com
Phone:+44 1865 616613
Postal address:Oxford-Man Institute Eagle House Oxford OX2 6ED UNITED KINGDOM
Workplace:Department of Economics, Oxford University, (more information at EDIRC)
Oxford-Man Institute of Quantitative Finance, Oxford University, (more information at EDIRC)

Access statistics for papers by Kevin Sheppard.

Last updated 2013-01-18. Update your information in the RePEc Author Service.

Short-id: psh81


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Working Papers

2016

  1. Ambiguity and the historical equity premium
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (10)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (31)
    Economics Series Working Papers, University of Oxford, Department of Economics (2011) Downloads View citations (10)

2012

  1. 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 (8)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2012) Downloads View citations (8)
  2. Multivariate Rotated ARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)

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)

2009

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

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

2008

  1. Evaluating Volatility and Correlation Forecasts
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (8)
  2. Fitting vast dimensional time-varying covariance models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (75)

2001

  1. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (322)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (368)

Journal Articles

2012

  1. Multivariate high‐frequency‐based volatility (HEAVY) models
    Journal of Applied Econometrics, 2012, 27, (6), 907-933 View citations (39)
    See also Working Paper (2011)

2010

  1. Realising the future: forecasting with high-frequency-based volatility (HEAVY) models
    Journal of Applied Econometrics, 2010, 25, (2), 197-231 Downloads View citations (84)
    See also Working Paper (2009)

2009

  1. Optimal combinations of realised volatility estimators
    International Journal of Forecasting, 2009, 25, (2), 218-238 Downloads View citations (29)

2006

  1. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
    Journal of Financial Econometrics, 2006, 4, (4), 537-572 Downloads View citations (436)

2004

  1. On the Computational Complexity of Consumer Decision Rules
    Computational Economics, 2004, 23, (2), 173-192 Downloads View citations (4)

2003

  1. An ordering experiment
    Journal of Economic Behavior & Organization, 2003, 50, (2), 249-262 Downloads View citations (4)

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