Advanced Search
MyIDEAS: Login

Kevin Keith Sheppard

Contents:

This is information that was supplied by Kevin Sheppard in registering through RePEc. If you are Kevin Keith Sheppard , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Kevin
Middle Name: Keith
Last Name: Sheppard
Suffix:

RePEc Short-ID: psh81

Email:
Homepage: http://www.kevinsheppard.com
Postal Address: Oxford-Man Institute Eagle House Oxford OX2 6ED UNITED KINGDOM
Phone: +44 1865 616613

Affiliation

(50%) Department of Economics
Oxford University
Location: Oxford, United Kingdom
Homepage: http://www.economics.ox.ac.uk/
Email:
Phone:
Fax:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Handle: RePEc:edi:sfeixuk (more details at EDIRC)
(50%) Oxford-Man Institute of Quantitative Finance
Oxford University
Location: Oxford, United Kingdom
Homepage: http://www.oxford-man.ox.ac.uk/
Email:
Phone: +44 (0)1865 616600
Fax: +44 (0)1865 616601
Postal: Blue Boar Court, 9 Alfred Street, Oxford, OX1 4EH
Handle: RePEc:edi:omioxuk (more details at EDIRC)

Works

as in new window

Working papers

  1. Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers 593, University of Oxford, Department of Economics.
  2. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
  3. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
  5. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
  6. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
  7. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre.
  8. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
  9. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 0204, European Central Bank.
  10. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.

Articles

  1. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, 09.
  2. Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
  3. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
  4. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
  5. A. Norman & A. Ahmed & J. Chou & A. Dalal & K. Fortson & M. Jindal & C. Kurz & H. Lee & K. Payne & R. Rando & K. Sheppard & E. Sublett & J. Sussman & I. White, 2004. "On the Computational Complexity of Consumer Decision Rules," Computational Economics, Society for Computational Economics, vol. 23(2), pages 173-192, 03.
  6. Norman, A. & Ahmed, M. & Chou, J. & Fortson, K. & Kurz, C. & Lee, H. & Linden, L. & Meythaler, K. & Rando, R. & Sheppard, K., 2003. "An ordering experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 50(2), pages 249-262, February.

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2011-05-24
  2. NEP-CBA: Central Banking (1) 2011-03-05
  3. NEP-CFN: Corporate Finance (1) 2011-05-24
  4. NEP-DGE: Dynamic General Equilibrium (3) 2011-05-24 2011-05-24 2011-05-30
  5. NEP-ECM: Econometrics (8) 2001-10-22 2008-03-08 2009-07-28 2009-10-24 2009-12-11 2009-12-11 2011-03-05 2012-03-08. Author is listed
  6. NEP-ETS: Econometric Time Series (6) 2001-10-22 2008-03-08 2008-10-13 2009-10-24 2009-12-11 2011-03-05. Author is listed
  7. NEP-FMK: Financial Markets (1) 2008-03-08
  8. NEP-FOR: Forecasting (4) 2008-03-08 2009-07-28 2009-12-11 2011-03-05. Author is listed
  9. NEP-MST: Market Microstructure (5) 2009-07-28 2009-07-28 2009-12-11 2011-03-05 2012-03-08. Author is listed
  10. NEP-ORE: Operations Research (2) 2008-10-13 2009-10-24
  11. NEP-RMG: Risk Management (3) 2008-03-08 2008-10-13 2011-03-05
  12. NEP-UPT: Utility Models & Prospect Theory (2) 2011-05-24 2011-05-30

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Discounted by Citation Age

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Kevin Sheppard should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.