Stochastic Volatility: Selected Readings

By N. Shephard. 2005

415 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dc01cbe2657a74e2e42057489bf7b129ed346df1

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Citations in the corpus

Subsampling Realised Kernels (2007, methodology): “Barndorff-Nielsen, Hansen, Lunde, and Shephard (2006) showed that kernel functions of the type just described, can be used to produce consistent estimators with mixed Gaussian asymptotic distributions.”
Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “…volatility clusters, the existence of a leverage effect, see Nelson (1991), i.e. the (typically negative) correlation between asset returns and their volatility, see e.g. Barndorff-Nielsen & Shephard (2007, 2012), Ghysels et al. (1996), Shephard & Andersen (2009), Shephard (2005) for a review.”
Variation, jumps, market frictions and high frequency data in financial econometrics (2005, unknown): “Combining the results in Barndorff-Nielsen and Shephard (2006) and Barndorff-Nielsen, Graversen, Jacod, Podolskij, and Shephard (2005) if Y is the form of (7) then, without any additional assumptions, µ−21 {Y }t = ∫ t 0 Σudu, where µr = E |U |r, U ∼ N(0, 1) and r > 0, which means that [Y ]t − µ−21…”
Stochastic volatility with leverage: Fast and efficient likelihood inference (2007, background): “There is by now a large literature on the fitting of stochastic volatility (SV) models (see, for example, the reviews in Ghysels et al. (1996) and Shephard (2005)).”
Estimating correlation from high, low, opening and closing prices (2008, background): “, 1996), (Shephard, 2005) for a survey of (some of) what is known on stochastic volatility.”
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach (2007, unknown): “Andersen, Bollerslev and Diebold (2005) and Shepard (2005) for reviews.”
Stable limits for sums of dependent infinite variance random variables (2009, background): “[1] for a recent reference on stochastic volatility models or the collection of papers [51].”
Realized kernels in practice: trades and quotes (2009, methodology): “For reviews of the econometrics of processes of the type Y see, for example, Shephard (2005).”
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011, methodology): “Our analysis builds upon earlier work on the effect of noise of univariate estimators by, amongst others, Zhou (1996), Andersen, Bollerslev, Diebold & Labys (2000), Zhang, Mykland & Aı̈t-Sahalia (2005), Andersen, Bollerslev & Meddahi (2006), Zhang (2006), Bandi & Russell (2005), Hansen & Lunde (2006”
Stochastic Volatility: Origins and Overview (2008, background): “This remarkable paper appears to have been lost to the modern SV literature until recently, but is now available in Shephard (2005).”