Neil Shephard

English

Research Papers in Economics

(2004a). Econometric analysis of realised covariation: high frequency covariance, regression and correlation in  economics.

(2004b). Power and bipower variation with stochastic volatility and jumps (with discussion).

A closed-form solution for options with stochastic volatility, with applications to bond and currency options.

A study towards a uni approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation.

A subordinated stochastic process model with  variance for speculative prices.

A t-Sahalia (2005). A tale of two time scales: determining integrated volatility with noisy high-frequency data.

A two-stage realized volatility approach to the estimation for diusion processes from discrete observations. Unpublished paper: Cowles Foundation for Research in Economics,

Alternative models of stock price dynamics.

An eigenfunction approach for volatility modeling. Unpublished paper:

Ane fractional stochastic volatility models. Unpublished paper:

Ane processes and applications in nance.

Answering the skeptics: yes, standard volatility models do provide accurate forecasts.

Asset Pricing.

Bayesian analysis of stochastic volatility models (with discussion).

Conditional heteroskedasticity in asset pricing: a new approach.

Diusion equation and stochastic processes.

Econometric analysis of realised volatility and its use in estimating stochastic volatility models.

Econometrics of testing for jumps in  economics using bipower variation.

Estimating nonlinear time series models using simulated vector autoregressions.

Estimating stochastic volatility diusion using conditional moments of integrated volatility.

Financial Modelling with Jump Processes.

Financial returns modelled by the product of two stochastic processes | a study of daily sugar prices 1961-79. In

GMM estimation of a stochastic volatility model: a Monte Carlo study.

High-frequency data and volatility in foreign-exchange rates.

Indirect inference.

Iterative and recursive estimation in structural non-adaptive models.

Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options.

Likelihood inference for discretely observed non-linear diusions.

Likelihood-based estimation of latent generalised ARCH structures.

Limit of random measures associated with the increments of a Brownian semimartingale.

Long memory in continuous-time stochastic volatility models.

Long memory in stochastic volatility.

Markov chain Monte Carlo analysis of diusion models with application to nance.

Microstructure noise, realized volatility, and optimal sampling. Unpublished paper,

Multivariate stochastic variance models.

Non-Gaussian Ornstein{Uhlenbeck-based models and some of their uses in  economics (with discussion).

Of smiles and smirks: A term structure perspective.

On estimating the expected return on the market: An exploratory investigation.

On inference for nonlinear diusion models using the Hastings-Metropolis algorithms.

On leverage in a stochastic volatility model.

On the detection and estimation of long memory in stochastic volatility.

Option hedging and implied volatilities in a stochastic volatility model.

Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type.

Option pricing when the variance is changing.

Option pricing when the variance rate is changing. Working paper,

Option values under stochastic volatilities.

Post-'97 crash fears in the S-&P 500 futures option market.

Prediction based estimating equations.

Pricing foreign currency options with stochastic volatility.

Rate of convergence for parametric estimation in stochastic volatility models.

Realized variance and market microstructure noise (with discussion).

Stochastic Processes.

Stochastic volatility as hidden Markov models and statistical applications.

Stochastic volatility models: Univariate and multivariate extensions.

Stochastic volatility: likelihood inference and comparison with ARCH models.

Stochastic Volatility: Selected Readings.

Stock price distributions with stochastic volatility: an analytic approach.

Studies of stock price volatility changes.

Superposition of Ornstein-Uhlenbeck type processes.

The behaviour of random variables with nonstationary variance and the distribution of security prices.

The distribution of exchange rate volatility.

The dynamics of exchange rate volatility: a multivariate latent factor ARCH model.

The econometrics of option pricing.

The impact of jumps in returns and volatility.

The pricing of options and corporate liabilities.

The pricing of options on assets with stochastic volatilities.

The valuation of option contracts and a test of market eciency.

The variability of the market factor of the New York stock exchange.

The variation of certain speculative prices.

Transform analysis and asset pricing for ane jump-diusions.

Variation, jumps, market frictions and high frequency data in  econometrics. Unpublished discussion paper: Nueld College,

Volatility and links between national stock markets.

Volatility modeling and estimation of high-frequency data with Gaussian noise. Unpublished Ph.D. thesis,

Which moments to match.

Stochastic Volatility

http://www.nuffield.ox.ac.uk/economics/papers/2005/w17/palgrave.pdf

Stochastic Volatility

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Research Papers in Economics