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Kevin Sheppard
Kevin Sheppard
University Lecturer, University of Oxford
Verified email at economics.ox.ac.uk - Homepage
Title
Cited by
Cited by
Year
Array programming with NumPy
CR Harris, KJ Millman, SJ Van Der Walt, R Gommers, P Virtanen, ...
Nature 585 (7825), 357-362, 2020
66672020
Asymmetric dynamics in the correlations of global equity and bond returns
L Cappiello, RF Engle, K Sheppard
Journal of Financial econometrics 4 (4), 537-572, 2006
20132006
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
RF Engle III, K Sheppard
National Bureau of Economic Research, 2001
18792001
Good volatility, bad volatility: Signed jumps and the persistence of volatility
AJ Patton, K Sheppard
Review of Economics and Statistics 97 (3), 683-697, 2015
5982015
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
LY Liu, AJ Patton, K Sheppard
Journal of Econometrics 187 (1), 293-311, 2015
4972015
Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
N Shephard, K Sheppard
Journal of Applied Econometrics 25 (2), 197-231, 2010
4542010
Evaluating volatility and correlation forecasts
AJ Patton, K Sheppard
Handbook of financial time series, 801-838, 2009
2522009
Multivariate high‐frequency‐based volatility (HEAVY) models
D Noureldin, N Shephard, K Sheppard
Journal of Applied Econometrics 27 (6), 907-933, 2012
2482012
Oxford-Man Institute’s realized library
G Heber, A Lunde, N Shephard, K Sheppard
Version 0.1, Oxford&Man Institute, University of Oxford, 2009
1992009
Fitting vast dimensional time-varying covariance models.
RF Engle, N Shephard, K Sheppard
1712008
Optimal combinations of realised volatility estimators
AJ Patton, K Sheppard
International Journal of Forecasting 25 (2), 218-238, 2009
1492009
Ambiguity and the historical equity premium
F Collard, S Mukerji, K Sheppard, JM Tallon
Quantitative Economics 9 (2), 945-993, 2018
1292018
Fitting vast dimensional time-varying covariance models
C Pakel, N Shephard, K Sheppard, RF Engle
Journal of Business & Economic Statistics 39 (3), 652-668, 2021
1032021
Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
A Lunde, N Shephard, K Sheppard
Journal of Business & Economic Statistics 34 (4), 504-518, 2016
89*2016
Evaluating the specification of covariance models for large portfolios
R Engle, K Sheppard
New York University, working paper, 2008
882008
Realized covariance and scrambling
K Sheppard
Unpublished manuscript 33, 2006
832006
Multivariate rotated ARCH models
D Noureldin, N Shephard, K Sheppard
Journal of Econometrics 179 (1), 16-30, 2014
702014
Understanding the dynamics of equity covariance
K Sheppard
Manuscript, UCSD, 2002
552002
Fitting and testing vast dimensional time-varying covariance models
RF Engle, N Shephard, K Sheppard
NYU working paper no. FIN-07-046, 2007
522007
Financial econometrics notes
K Sheppard
University of Oxford, 333-426, 2010
482010
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