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Kevin Keith Sheppard

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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

(weights of affiliations)

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Per A. Mykland & 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, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
  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. 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.
  5. 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.
  6. Robert F. Engle & Neil Shephard & Kevin Sheppard, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
  7. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre.
  8. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
  9. 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.

    RePEc:cdl:ucsdec:542522 is not listed on IDEAS

Articles

  1. 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.
  2. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
  3. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
  4. 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.
  5. 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

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