Kevin Sheppard

  • Fitting Vast Dimensional Time-Varying Covariance Models

  • Factor high-frequency-based volatility (heavy) models

  • Ambiguity and the historical equity premium

  • Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

  • Multivariate rotated ARCH models

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  • Department of Economics Discussion Paper Series

    Factor High-Frequency Based Volatility (HEAVY) Models

  • Department of Economics Discussion Paper Series

    Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

  • Department of Economics Discussion Paper Series

    Multivariate Rotated ARCH models

  • Department of Economics Discussion Paper Series

    Efficient and feasible inference for the components of financial variation using blocked multipower variation

  • Department of Economics Discussion Paper Series

    Multivariate High-Frequency-Based Volatility (HEAVY) Models

More