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Kevin Keith Sheppard

Personal Details

First Name:Kevin
Middle Name:Keith
Last Name:Sheppard
Suffix:
RePEc Short-ID:psh81
http://www.kevinsheppard.com
Oxford-Man Institute Eagle House Oxford OX2 6ED UNITED KINGDOM
+44 1865 616613
Terminal Degree:2004 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy)

Affiliation

(50%) Department of Economics
Oxford University

Oxford, United Kingdom
http://www.economics.ox.ac.uk/

:

Manor Rd. Building, Oxford, OX1 3UQ
RePEc:edi:sfeixuk (more details at EDIRC)

(50%) Oxford-Man Institute of Quantitative Finance
Oxford University

Oxford, United Kingdom
http://www.oxford-man.ox.ac.uk/

: +44 (0)1865 616600
+44 (0)1865 616601
Blue Boar Court, 9 Alfred Street, Oxford, OX1 4EH
RePEc:edi:omioxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

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. 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, September.
  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, Springer;Society for Computational Economics, vol. 23(2), pages 173-192, March.
  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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Discounted by Citation Age
  3. Number of Citations, Weighted by Simple Impact Factor
  4. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Number of Authors
  7. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  9. Number of Registered Citing Authors
  10. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  11. Euclidian citation score
  12. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. 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
  2. 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
  3. NEP-MST: Market Microstructure (5) 2009-07-28 2009-07-28 2009-12-11 2011-03-05 2012-03-08. Author is listed
  4. NEP-FOR: Forecasting (4) 2008-03-08 2009-07-28 2009-12-11 2011-03-05
  5. NEP-DGE: Dynamic General Equilibrium (3) 2011-05-24 2011-05-24 2011-05-30
  6. NEP-RMG: Risk Management (3) 2008-03-08 2008-10-13 2011-03-05
  7. NEP-ORE: Operations Research (2) 2008-10-13 2009-10-24
  8. NEP-UPT: Utility Models & Prospect Theory (2) 2011-05-24 2011-05-30
  9. NEP-BEC: Business Economics (1) 2011-05-24
  10. NEP-CBA: Central Banking (1) 2011-03-05
  11. NEP-CFN: Corporate Finance (1) 2011-05-24
  12. NEP-FMK: Financial Markets (1) 2008-03-08

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