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Kevin Keith Sheppard · Study
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Author
Kevin Keith Sheppard
14 works
· latest 2020
· 3 institutions
cluster: provisional
ORCID 0000-0001-8700-2292
Works
14 shown
Fitting Vast Dimensional Time-Varying Covariance Models
Journal of Business and Economic Statistics
·
2020
·
4 authors
152
citations
Ambiguity and the historical equity premium
Quantitative Economics
·
2018
·
4 authors
·
Open access
73
citations
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Journal of Business and Economic Statistics
·
2015
·
3 authors
73
citations
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
The Review of Economics and Statistics
·
2015
·
2 authors
772
citations
Multivariate rotated ARCH models
Journal of Econometrics
·
2013
·
3 authors
·
Open access
50
citations
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
Journal of Econometrics
·
2012
·
3 authors
·
Open access
629
citations
Multivariate high‐frequency‐based volatility (HEAVY) models
Journal of Applied Econometrics
·
2011
·
3 authors
228
citations
Ambiguity and the Historical Equity Premium
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
41
citations
Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
Journal of Applied Econometrics
·
2010
·
2 authors
·
Open access
436
citations
Optimal combinations of realised volatility estimators
International Journal of Forecasting
·
2009
·
2 authors
142
citations
Evaluating Volatility and Correlation Forecasts
Springer eBooks
·
2009
·
2 authors
·
chapter
244
citations
2007): “Fitting and testing vast dimensional timevarying covariance models
Faculty Digital Archive (New York University Florence)
·
2007
·
3 authors
·
report
·
Open access
41
citations
Evaluating the Specification of Covariance Models for Large Portfolios
·
2007
·
2 authors
54
citations
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
National Bureau of Economic Research
·
2001
·
2 authors
·
report
·
Open access
1,401
citations