Difference between revisions of "Published Papers"

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* {{pdf|ACFM2001.pdf|Multi-Step estimation of Multivariate GARCH models}}, ''Proceedings of the
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===Refereed===
International ICSC Symposium: Advanced Computing in Financial Markets'', June 2001.
 
 
* {{pdf|ordering2003.pdf|An Ordering Experiment}}, ''Journal of Economic Behavior and Organization'' with A. Norman, et al.,February 2003, pp. 249-262.
 
* {{pdf|ordering2003.pdf|An Ordering Experiment}}, ''Journal of Economic Behavior and Organization'' with A. Norman, et al.,February 2003, pp. 249-262.
 
* {{pdf|complexity2003.pdf|On the Computational Complexity of Consumer Decision Rules}}, 2003, with A. Norman, et. al., ''Computational  Economics'', Vol 23, March 2004, pp 173-192.<br />
 
* {{pdf|complexity2003.pdf|On the Computational Complexity of Consumer Decision Rules}}, 2003, with A. Norman, et. al., ''Computational  Economics'', Vol 23, March 2004, pp 173-192.<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.  
 
* {{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.  
 
* {{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
* {{pdf|Combination_Patton_Sheppard_2009.pdf|Optimal Combinations of Realised Volatility Estimators}} (joint with Andrew J. Patton) International Journal of Forecasting, 2009, 25:2, 218--238.
 
 
* {{pdf|Panel_Garch_Pakel_Shephard_Sheppard_2011.pdf|Nuisance parameters, composite likelihoods and a panel of GARCH models}} Statistica Sinica, 2011, 21, 307--329.  
 
* {{pdf|Panel_Garch_Pakel_Shephard_Sheppard_2011.pdf|Nuisance parameters, composite likelihoods and a panel of GARCH models}} Statistica Sinica, 2011, 21, 307--329.  
 
* {{pdf|HEAVY_Shephard_Sheppard_2011.pdf|Realising the future: forecasting with high-frequency-based volatility (HEAVY) models}} (joint with Neil Shephard), Journal of Applied Econometrics, 2010, 25:2, 197--231.
 
* {{pdf|HEAVY_Shephard_Sheppard_2011.pdf|Realising the future: forecasting with high-frequency-based volatility (HEAVY) models}} (joint with Neil Shephard), Journal of Applied Econometrics, 2010, 25:2, 197--231.
 
* {{pdf|HEAVY_Noureldin_Shephard_Sheppard_2011.pdf|Multivariate high-frequency-based volatility (HEAVY) models}} (joint with D. Noureldin and N. Shephard), Journal of Applied Econometrics, 2011, Preprint phase.
 
* {{pdf|HEAVY_Noureldin_Shephard_Sheppard_2011.pdf|Multivariate high-frequency-based volatility (HEAVY) models}} (joint with D. Noureldin and N. Shephard), Journal of Applied Econometrics, 2011, Preprint phase.
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===Other===
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* {{pdf|ACFM2001.pdf|Multi-Step estimation of Multivariate GARCH models}}, ''Proceedings of the International ICSC Symposium: Advanced Computing in Financial Markets'', June 2001.
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* {{pdf|Combination_Patton_Sheppard_2009.pdf|Optimal Combinations of Realised Volatility Estimators}} (joint with Andrew J. Patton) International Journal of Forecasting, 2009, 25:2, 218--238.
 
* {{pdf|HEAVY_Noureldin_Shephard_Sheppard_2011.pdf|Forecasting High Dimensional Covariance Matrices}} Handbook of Volatility Models and Their Applications, 2012 (Bauwens, L. Hafner, C. and Laurent, S. eds.) Wiley. Preprint phase.
 
* {{pdf|HEAVY_Noureldin_Shephard_Sheppard_2011.pdf|Forecasting High Dimensional Covariance Matrices}} Handbook of Volatility Models and Their Applications, 2012 (Bauwens, L. Hafner, C. and Laurent, S. eds.) Wiley. Preprint phase.
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[[Category:Research]]
 
[[Category:Research]]

Latest revision as of 09:05, 14 October 2011

Refereed


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