Difference between revisions of "Published Papers"

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{{pdf|CES_JFeC.pdf|Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns}}, 2006, with L. Cappiello and R. Engle, ''Journal of Financial Econometrics'' Vol. 4, pp. 537-572. <br />
 
{{pdf|CES_JFeC.pdf|Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns}}, 2006, with L. Cappiello and R. Engle, ''Journal of Financial Econometrics'' Vol. 4, pp. 537-572. <br />
 
  
 
{{pdf|Evaluating_Patton_Sheppard_2009.pdf|Evaluating Volatility and Correlation Forecasts}} (joint with Andrew J. Patton), Handbook of Financial Time Series, 2009, (T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.)), Springer Verlag
 
{{pdf|Evaluating_Patton_Sheppard_2009.pdf|Evaluating Volatility and Correlation Forecasts}} (joint with Andrew J. Patton), Handbook of Financial Time Series, 2009, (T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.)), Springer Verlag

Revision as of 22:39, 13 October 2011

Multi-Step estimation of Multivariate GARCH models Pdf small icon.png, Proceedings of the International ICSC Symposium: Advanced Computing in Financial Markets, June 2001.

An Ordering Experiment Pdf small icon.png, Journal of Economic Behavior and Organization with A. Norman, et al.,February 2003, pp. 249-262.

On the Computational Complexity of Consumer Decision Rules Pdf small icon.png, 2003, with A. Norman, et. al., Computational Economics, Vol 23, March 2004, pp 173-192.

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns Pdf small icon.png, 2006, with L. Cappiello and R. Engle, Journal of Financial Econometrics Vol. 4, pp. 537-572.

Evaluating Volatility and Correlation Forecasts Pdf small icon.png (joint with Andrew J. Patton), Handbook of Financial Time Series, 2009, (T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.)), Springer Verlag

Optimal Combinations of Realised Volatility Estimators Pdf small icon.png (joint with Andrew J. Patton) International Journal of Forecasting, 2009, 25:2, 218--238.

Nuisance parameters, composite likelihoods and a panel of GARCH models Pdf small icon.png Statistica Sinica, 2011, 21, 307--329.

Realising the future: forecasting with high-frequency-based volatility (HEAVY) models Pdf small icon.png (joint with Neil Shephard), Journal of Applied Econometrics, 2010, 25:2, 197--231.

Realising the future: forecasting with high-frequency-based volatility (HEAVY) models Pdf small icon.png (joint with Neil Shephard), Journal of Applied Econometrics, 2010, 25:2, 197--231.

Multivariate high-frequency-based volatility (HEAVY) models Pdf small icon.png (joint with D. Noureldin and N. Shephard), Journal of Applied Econometrics, 2011, Preprint phase.

Forecasting High Dimensional Covariance Matrices Pdf small icon.png Handbook of Volatility Models and Their Applications, 2012 (Bauwens, L. Hafner, C. and Laurent, S. eds.) Wiley. Preprint phase.