Koopman, Siem Jan (ed.); Shephard, Neil (ed.) Unobserved components and time series econometrics. (English) Zbl 1325.62004 Oxford: Oxford University Press (ISBN 978-0-19-968366-6/hbk). 384 p. (2015). MSC: 62-06 91-06 62P20 62M10 91B84 91G70 00A06 PDFBibTeX XMLCite \textit{S. J. Koopman} (ed.) and \textit{N. Shephard} (ed.), Unobserved components and time series econometrics. Oxford: Oxford University Press (2015; Zbl 1325.62004)
Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin Multivariate rotated ARCH models. (English) Zbl 1293.62198 J. Econom. 179, No. 1, 16-30 (2014). MSC: 62M10 62H12 62P05 91G70 PDFBibTeX XMLCite \textit{D. Noureldin} et al., J. Econom. 179, No. 1, 16--30 (2014; Zbl 1293.62198) Full Text: DOI Link
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. Realized kernels in practise : trades and quotes. (English) Zbl 1179.91259 Econom. J. 12, No. 3, C1-C32 (2009). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} et al., Econom. J. 12, No. 3, C1--C32 (2009; Zbl 1179.91259) Full Text: DOI
Chib, Siddhartha; Nardari, Federico; Shephard, Neil Analysis of high dimensional multivariate stochastic volatility models. (English) Zbl 1418.62377 J. Econom. 134, No. 2, 341-371 (2006). MSC: 62P05 62F15 91B84 62M10 62M20 91G70 PDFBibTeX XMLCite \textit{S. Chib} et al., J. Econom. 134, No. 2, 341--371 (2006; Zbl 1418.62377) Full Text: DOI
Barndorff-Nielsen, Ole E.; Shephard, Neil Multipower variation and stochastic volatility. (English) Zbl 1144.60314 Grosshinho, Maria do Rosário (ed.) et al., Stochastic finance. Selected papers based on the presentations at the international conference on stochastic finance 2004, Lisbon, Portugal, September 26–30, 2004. New York, NY: Springer (ISBN 0-387-28262-9/hbk). 73-82 (2006). MSC: 60H30 91G70 60H10 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, in: Stochastic finance. Selected papers based on the presentations at the international conference on stochastic finance 2004, Lisbon, Portugal, September 26--30, 2004. New York, NY: Springer. 73--82 (2006; Zbl 1144.60314)
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil Limit theorems for bipower variation in financial econometrics. (English) Zbl 1125.62114 Econom. Theory 22, No. 4, 677-719 (2006). MSC: 62P05 91G70 60G48 60F05 60H10 60H30 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} et al., Econom. Theory 22, No. 4, 677--719 (2006; Zbl 1125.62114) Full Text: DOI arXiv
Shephard, Neil Are there discontinuities in financial prices? (English) Zbl 1270.91104 Davison, Anthony C. (ed.) et al., Celebrating statistics. Papers in honour of Sir David Cox on the occasion of his 80th birthday. Invited papers presented at the conference, Neuchâtel, Switzerland, July 14–17, 2004. Oxford: Oxford University Press (ISBN 0-19-856654-9/hbk). Oxford Statistical Science Series 33, 213-231 (2005). MSC: 91G70 62P05 62M10 91B24 91B84 PDFBibTeX XMLCite \textit{N. Shephard}, Oxf. Stat. Sci. Ser. 33, 213--231 (2005; Zbl 1270.91104)
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Shephard, Neil Power variation and stochastic volatility: a review and some new results. (English) Zbl 1070.91018 J. Appl. Probab. 41A, Spec. Iss., 133-143 (2004). MSC: 91G70 60G48 60H05 60H30 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} et al., J. Appl. Probab. 41A, 133--143 (2004; Zbl 1070.91018) Full Text: DOI Link
Barndorff-Nielsen, Ole E.; Shephard, Neil Integrated OU processes and non-Gaussian OU-based stochastic volatility models. (English) Zbl 1051.60048 Scand. J. Stat. 30, No. 2, 277-296 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G51 60H10 60G10 62P20 91G20 91G70 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, Scand. J. Stat. 30, No. 2, 277--296 (2003; Zbl 1051.60048) Full Text: DOI