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Top Publications

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Journal of the Royal Statistical Society Series B (Statistical Methodology)20022,286 citationsCorresponding
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
Journal of the Royal Statistical Society Series B (Statistical Methodology)20011,876 citations
Multivariate Stochastic Variance Models
The Review of Economic Studies19941,394 citations
Neil Shephard · Scinovex