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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Multivariate high-frequency-based volatility (HEAVY) models
Multivariate high-frequency-based volatility (HEAVY) models
Publication information:
Shephard, Neil, Diaa Noureldin, and Kevin Sheppard. 2012. “Multivariate High-Frequency-Based Volatility (HEAVY) Models”.
Journal of Applied Econometrics
27: 907-33.
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