Details about Kevin Sheppard

Access statistics for papers by Kevin Sheppard.

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

Short-id: psh81

Working Papers

2016

1. Ambiguity and the historical equity premium
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (14)
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) View citations (29)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (53)

2012

2. 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)
3. Multivariate Rotated ARCH Models
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (19)

2011

4. 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)

2009

5. Nuisance parameters, composite likelihoods and a panel of GARCH models
   Economics Papers, Economics Group, Nuffield College, University of Oxford
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2009) View citations (15)
   OFRC Working Papers Series, Oxford Financial Research Centre (2009)
6. Realising the future: forecasting with high frequency based volatility (HEAVY) models
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (18)
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2009) View citations (21)
   OFRC Working Papers Series, Oxford Financial Research Centre (2009) View citations (17)
   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

7. Evaluating Volatility and Correlation Forecasts
   OFRC Working Papers Series, Oxford Financial Research Centre View citations (12)
8. Fitting vast dimensional time-varying covariance models
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (135)

2001

9. 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 View citations (786)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (764)

Journal Articles

2012

1. 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)

2010

2. 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, Economics Series Working Papers (2009) View citations (18) (2009)

2009

3. Optimal combinations of realised volatility estimators
   International Journal of Forecasting, 2009, 25, (2), 218-238 View citations (83)

2006

4. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
   Journal of Financial Econometrics, 2006, 4, (4), 537-572 View citations (965)

2004

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

2003

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