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Citation: Shephard, Neil et Sheppard, Kevin, Releasing the future: forecasting with high-frequency-based volatility (HEAVY) models, Journal of applied econometrics , 25(2), 2010, pp. 197-231

Authors: Bos, Charles S. Shephard, Neil

Citation: S. Bos, Charles et Shephard, Neil, Inference for adaptive time series models: stochastic volatility and conditionally gaussian state space form, Econometric reviews , 25(2-3), 2006, pp. 219-244

Authors: Barndoff-Nielsen, Ole E. Shephard, Neil

Citation: E. Barndoff-nielsen, Ole et Shephard, Neil, Estimating quadratic variation using realized variance, Journal of applied econometrics , 17(5), 2002, pp. 457-477

Authors: Noureldin, Diaa Shephard, Neil Sheppard, Kevin

Citation: Noureldin, Diaa et al., Multivariate high-frequency-based volatility (HEAVY) models, Journal of applied econometrics , 27(6), 2012, pp. 907-933