Concepedia

Kevin Sheppard

KS

24

Publications

3.9K

Citations

20

H-Index

2001

Active since

Affiliations

University of Oxford(Current)

Quantitative BioSciences

Duke University

Queen Mary University of London

Paris School of Economics

Kevin Sheppard is an author at University of Oxford specializing in finance, statistics, and business.

Top concepts

FinanceStatisticsBusinessEngineeringEconometricsAsset PricingVolatility ModelingEconomicsManagementFinancial Economics

Publications per year

2001–2022

24

Publications

24

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

Robert F. Engle, Kevin Sheppard · The Faculty Digital Archive (New York University) · 2001 · 766 citations

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

Andrew J. Patton, Kevin Sheppard · The Review of Economics and Statistics · 2015 · 752 citations

Empirical Finance, Volatility Modeling, Engineering +18

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

Lily Y. Liu, Andrew J. Patton, Kevin Sheppard · Journal of Econometrics · 2015 · 561 citations

Engineering, 5-Minute Rv, Does Anything +11

Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models

Neil Shephard, Kevin Sheppard · Journal of Applied Econometrics · 2010 · 444 citations · Full text

Empirical Finance, Forecasting Methodology, Volatility Modeling +19

Multivariate high‐frequency‐based volatility (HEAVY) models

Diaa Noureldin, Neil Shephard, Kevin Sheppard · Journal of Applied Econometrics · 2011 · 240 citations

Volatility Modeling, Engineering, Vector Autoregression +17

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