2002
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Ole Eiler Barndorff-Nielsen, Neil Shephard
Journal of the Royal Statistical Society Series B (Statistical Methodology) OATop-listed
2.3k
cites
Faculty
Neil Shephard is a Finance scholar at Harvard University. Research spans Financial Risk and Volatility Modeling, Stochastic processes and financial applications. 266 works, 28k citations (h-index 69).
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Affiliation on publications · Harvard University Press
Ole Eiler Barndorff-Nielsen, Neil Shephard
Journal of the Royal Statistical Society Series B (Statistical Methodology) OATop-listed
Michael K Pitt, Neil Shephard
Journal of the American Statistical Association OATop-listed
Ole Eiler Barndorff-Nielsen, Neil Shephard
Journal of the Royal Statistical Society Series B (Statistical Methodology)Top-listed