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Shephard, Neil

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Author ID: shephard.neil Recent zbMATH articles by "Shephard, Neil"
Published as: Shephard, Neil; Shepard, Neil; Shephard, N.; Shepard, N.
Documents Indexed: 71 Publications since 1993, including 7 Books

Publications by Year

Citations contained in zbMATH Open

61 Publications have been cited 3,399 times in 1,955 Documents Cited by Year
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). Zbl 0983.60028
Barndorff-Nielsen, Ole E.; Shephard, Neil
529
2001
Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1059.62107
Barndorff-Nielsen, Ole E.; Shephard, Neil
302
2002
Stochastic volatility: likelihood inference and comparison with ARCH models. Zbl 0910.90067
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha
264
1998
Filtering via simulation: Auxiliary particle filters. Zbl 1072.62639
Pitt, Michael K.; Shephard, Neil
222
1999
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Zbl 1153.91416
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
217
2008
Multivariate stochastic variance models. Zbl 0805.90026
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
164
1994
Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Zbl 1141.91634
Barndorff-Nielsen, Ole E.; Shephard, Neil
125
2004
Likelihood analysis of non-Gaussian measurement time series. Zbl 0888.62095
Shephard, Neil; Pitt, Michael K.
124
1997
Likelihood inference for discretely observed nonlinear diffusions. Zbl 1017.62068
Elerian, Ola; Chib, Siddhartha; Shephard, Neil
123
2001
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
107
2011
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
106
2002
The simulation smoother for time series models. Zbl 0823.62072
De Jong, Piet; Shephard, Neil
80
1995
A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil
79
2006
Modelling by Lévy processes for financial econometrics. Zbl 0991.62089
Barndorff-Nielsen, Ole E.; Shephard, Neil
74
2001
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
63
2007
Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022
Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias
61
2006
Partial non-Gaussian state space. Zbl 0796.62079
Shephard, Neil
56
1994
Power variation and time change. Zbl 1095.60023
Barndorff-Nielsen, O. E.; Shephard, N.
56
2006
Realized kernels in practise : trades and quotes. Zbl 1179.91259
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.
49
2009
Stochastic volatility. Selected readings. Zbl 1076.60005
Shephard, Neil (ed.)
48
2005
Analysis of high dimensional multivariate stochastic volatility models. Zbl 1418.62377
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
40
2006
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
39
2006
Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Zbl 1051.60048
Barndorff-Nielsen, Ole E.; Shephard, Neil
34
2003
Statistical algorithms for models in state space using SsfPack 2. 2. Zbl 0935.91034
Koopman, Siem Jan; Shephard, Neil; Doornik, Jurgen A.
31
1999
Realized power variation and stochastic volatility models. Zbl 1026.60054
Barndorff-Nielsen, Ole E.; Shephard, Neil
28
2003
Normal modified stable processes. Zbl 1026.60058
Barndorff-Nielsen, Ole E.; Shepard, Neil
25
2001
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
23
2011
Likelihood-based estimation of latent generalized ARCH structures. Zbl 1091.62071
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil
23
2004
Variation, jumps and high-frequency data in financial econometrics. Zbl 1157.91017
Barndorff-Nielsen, Ole E.; Shephard, Neil
22
2007
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes. Zbl 1337.62342
Barndorff-Nielsen, Ole E.; Shephard, Neil
20
2006
Time-varying covariances: A factor stochastic volatility approach. (With discussion). Zbl 0956.62107
Pitt, Michael K.; Shephard, Neil
20
1999
Local scale models. State space alternative to integraded GARCH processes. Zbl 0800.62807
Shephard, Neil
17
1994
Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil
14
2012
Testing the assumptions behind importance sampling. Zbl 1429.62681
Koopman, Siem Jan; Shephard, Neil; Creal, Drew
14
2009
Subsampling realised kernels. Zbl 1441.62598
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
14
2011
Maximum likelihood estimation of regression models with stochastic trend components. Zbl 0775.62242
Shephard, Neil
13
1993
Statistical aspects of ARCH and stochastic volatility. Zbl 1075.91629
Shepard, N.
13
1996
How accurate is the asymptotic approximation to the distribution of realised variance? Zbl 1121.62018
Barndorff-Nielsen, Ole E.; Shephard, Neil
13
2005
A modelling framework for the prices and times of trades made of the New York stock exchange. Zbl 1052.91513
Rydberg, Tina Hviid; Shephard, Neil
12
2001
Integer-valued trawl processes: a class of stationary infinitely divisible processes. Zbl 1309.60033
Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D.
12
2014
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading. Zbl 1391.62295
Shephard, Neil; Xiu, Dacheng
12
2017
Measuring downside risk – realized semivariance. Zbl 1229.91154
Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil
11
2010
Stochastic volatility: origins and overview. Zbl 1178.91233
Shephard, Neil; Andersen, Torben G.
10
2009
Likelihood analysis of a first-order autoregressive model with exponential innovations. Zbl 1050.62096
Nielsen, B.; Shephard, N.
10
2003
Detecting shocks: Outliers and breaks in time series. Zbl 0921.62137
Atkinson, A. C.; Koopman, S. J.; Shephard, N.
9
1997
Analytic convergence rates and parameterization issues. Zbl 0924.62093
Pitt, Michael K.; Shephard, Neil
9
1999
Auxiliary variable based particle filters. Zbl 1056.93590
Pitt, Michael K.; Shephard, Neil
9
2001
Multivariate rotated ARCH models. Zbl 1293.62198
Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin
8
2014
Power variation and stochastic volatility: a review and some new results. Zbl 1070.91018
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Shephard, Neil
8
2004
Some recent developments in stochastic volatility modelling. Zbl 1405.91583
Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil
8
2002
Nuisance parameters, composite likelihoods and a panel of GARCH models. Zbl 1206.62154
Pakel, Cavit; Shephard, Neil; Sheppard, Kevin
6
2011
Realized power variation and stochastic volatility model. Zbl 1039.60046
Barndorff-Nielsen, Ole E.; Shephard, Neil
6
2003
Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form. Zbl 1113.62094
Bos, Charles S.; Shephard, Neil
4
2006
Computationally intensive econometrics using a distributed matrix-programming language. Zbl 1056.91547
Doornik, Jurgen A.; Hendry, David F.; Shephard, Neil
3
2002
Stochastic volatility: likelihood inference and comparison with ARCH models. Zbl 1082.62104
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha
2
2005
State space and unobserved component models. Theory and applications. Selected papers from the conference, Amsterdam, The Netherlands, August 29 – September 3, 2002. Zbl 1053.62006
Harvey, Andrew (ed.); Koopman, Siem Jan (ed.); Shephard, Neil (ed.)
2
2004
Time series experiments and causal estimands: exact randomization tests and trading. Zbl 1428.62385
Bojinov, Iavor; Shephard, Neil
2
2019
The methodology and practice of econometrics. A Festschrift in honour of David F. Hendry. Papers based on the presentations at the conference, Oxford, August 2007. Zbl 1171.62075
Castle, Jennifer L. (ed.); Shepard, Neil (ed.)
1
2009
Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1126.91357
Barndorff-Nielsen, Ole E.; Shephard, Neil
1
2005
Multipower variation and stochastic volatility. Zbl 1144.60314
Barndorff-Nielsen, Ole E.; Shephard, Neil
1
2006
Likelihood inference for exponential-trawl processes. Zbl 1359.62347
Shephard, Neil; Yang, Justin J.
1
2016
Time series experiments and causal estimands: exact randomization tests and trading. Zbl 1428.62385
Bojinov, Iavor; Shephard, Neil
2
2019
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading. Zbl 1391.62295
Shephard, Neil; Xiu, Dacheng
12
2017
Likelihood inference for exponential-trawl processes. Zbl 1359.62347
Shephard, Neil; Yang, Justin J.
1
2016
Integer-valued trawl processes: a class of stationary infinitely divisible processes. Zbl 1309.60033
Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D.
12
2014
Multivariate rotated ARCH models. Zbl 1293.62198
Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin
8
2014
Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil
14
2012
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Zbl 1441.62599
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
107
2011
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models. Zbl 1226.62021
Flury, Thomas; Shephard, Neil
23
2011
Subsampling realised kernels. Zbl 1441.62598
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
14
2011
Nuisance parameters, composite likelihoods and a panel of GARCH models. Zbl 1206.62154
Pakel, Cavit; Shephard, Neil; Sheppard, Kevin
6
2011
Measuring downside risk – realized semivariance. Zbl 1229.91154
Barndorff-Nielsen, Ole E.; Kinnebrock, Silja; Shephard, Neil
11
2010
Realized kernels in practise : trades and quotes. Zbl 1179.91259
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.
49
2009
Testing the assumptions behind importance sampling. Zbl 1429.62681
Koopman, Siem Jan; Shephard, Neil; Creal, Drew
14
2009
Stochastic volatility: origins and overview. Zbl 1178.91233
Shephard, Neil; Andersen, Torben G.
10
2009
The methodology and practice of econometrics. A Festschrift in honour of David F. Hendry. Papers based on the presentations at the conference, Oxford, August 2007. Zbl 1171.62075
Castle, Jennifer L.; Shepard, Neil
1
2009
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Zbl 1153.91416
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
217
2008
Stochastic volatility with leverage: fast and efficient likelihood inference. Zbl 1247.91207
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
63
2007
Variation, jumps and high-frequency data in financial econometrics. Zbl 1157.91017
Barndorff-Nielsen, Ole E.; Shephard, Neil
22
2007
A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil
79
2006
Limit theorems for multipower variation in the presence of jumps. Zbl 1096.60022
Barndorff-Nielsen, Ole E.; Shephard, Neil; Winkel, Matthias
61
2006
Power variation and time change. Zbl 1095.60023
Barndorff-Nielsen, O. E.; Shephard, N.
56
2006
Analysis of high dimensional multivariate stochastic volatility models. Zbl 1418.62377
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
40
2006
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
39
2006
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes. Zbl 1337.62342
Barndorff-Nielsen, Ole E.; Shephard, Neil
20
2006
Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form. Zbl 1113.62094
Bos, Charles S.; Shephard, Neil
4
2006
Multipower variation and stochastic volatility. Zbl 1144.60314
Barndorff-Nielsen, Ole E.; Shephard, Neil
1
2006
Stochastic volatility. Selected readings. Zbl 1076.60005
Shephard, Neil
48
2005
How accurate is the asymptotic approximation to the distribution of realised variance? Zbl 1121.62018
Barndorff-Nielsen, Ole E.; Shephard, Neil
13
2005
Stochastic volatility: likelihood inference and comparison with ARCH models. Zbl 1082.62104
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha
2
2005
Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1126.91357
Barndorff-Nielsen, Ole E.; Shephard, Neil
1
2005
Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Zbl 1141.91634
Barndorff-Nielsen, Ole E.; Shephard, Neil
125
2004
Likelihood-based estimation of latent generalized ARCH structures. Zbl 1091.62071
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil
23
2004
Power variation and stochastic volatility: a review and some new results. Zbl 1070.91018
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Shephard, Neil
8
2004
State space and unobserved component models. Theory and applications. Selected papers from the conference, Amsterdam, The Netherlands, August 29 – September 3, 2002. Zbl 1053.62006
Harvey, Andrew; Koopman, Siem Jan; Shephard, Neil
2
2004
Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Zbl 1051.60048
Barndorff-Nielsen, Ole E.; Shephard, Neil
34
2003
Realized power variation and stochastic volatility models. Zbl 1026.60054
Barndorff-Nielsen, Ole E.; Shephard, Neil
28
2003
Likelihood analysis of a first-order autoregressive model with exponential innovations. Zbl 1050.62096
Nielsen, B.; Shephard, N.
10
2003
Realized power variation and stochastic volatility model. Zbl 1039.60046
Barndorff-Nielsen, Ole E.; Shephard, Neil
6
2003
Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Zbl 1059.62107
Barndorff-Nielsen, Ole E.; Shephard, Neil
302
2002
Markov chain Monte Carlo methods for stochastic volatility models. Zbl 1099.62539
Chib, Siddhartha; Nardari, Federico; Shephard, Neil
106
2002
Some recent developments in stochastic volatility modelling. Zbl 1405.91583
Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil
8
2002
Computationally intensive econometrics using a distributed matrix-programming language. Zbl 1056.91547
Doornik, Jurgen A.; Hendry, David F.; Shephard, Neil
3
2002
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion). Zbl 0983.60028
Barndorff-Nielsen, Ole E.; Shephard, Neil
529
2001
Likelihood inference for discretely observed nonlinear diffusions. Zbl 1017.62068
Elerian, Ola; Chib, Siddhartha; Shephard, Neil
123
2001
Modelling by Lévy processes for financial econometrics. Zbl 0991.62089
Barndorff-Nielsen, Ole E.; Shephard, Neil
74
2001
Normal modified stable processes. Zbl 1026.60058
Barndorff-Nielsen, Ole E.; Shepard, Neil
25
2001
A modelling framework for the prices and times of trades made of the New York stock exchange. Zbl 1052.91513
Rydberg, Tina Hviid; Shephard, Neil
12
2001
Auxiliary variable based particle filters. Zbl 1056.93590
Pitt, Michael K.; Shephard, Neil
9
2001
Filtering via simulation: Auxiliary particle filters. Zbl 1072.62639
Pitt, Michael K.; Shephard, Neil
222
1999
Statistical algorithms for models in state space using SsfPack 2. 2. Zbl 0935.91034
Koopman, Siem Jan; Shephard, Neil; Doornik, Jurgen A.
31
1999
Time-varying covariances: A factor stochastic volatility approach. (With discussion). Zbl 0956.62107
Pitt, Michael K.; Shephard, Neil
20
1999
Analytic convergence rates and parameterization issues. Zbl 0924.62093
Pitt, Michael K.; Shephard, Neil
9
1999
Stochastic volatility: likelihood inference and comparison with ARCH models. Zbl 0910.90067
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha
264
1998
Likelihood analysis of non-Gaussian measurement time series. Zbl 0888.62095
Shephard, Neil; Pitt, Michael K.
124
1997
Detecting shocks: Outliers and breaks in time series. Zbl 0921.62137
Atkinson, A. C.; Koopman, S. J.; Shephard, N.
9
1997
Statistical aspects of ARCH and stochastic volatility. Zbl 1075.91629
Shepard, N.
13
1996
The simulation smoother for time series models. Zbl 0823.62072
De Jong, Piet; Shephard, Neil
80
1995
Multivariate stochastic variance models. Zbl 0805.90026
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
164
1994
Partial non-Gaussian state space. Zbl 0796.62079
Shephard, Neil
56
1994
Local scale models. State space alternative to integraded GARCH processes. Zbl 0800.62807
Shephard, Neil
17
1994
Maximum likelihood estimation of regression models with stochastic trend components. Zbl 0775.62242
Shephard, Neil
13
1993
all top 5

Cited by 2,483 Authors

29 Barndorff-Nielsen, Ole Eiler
27 Podolskij, Mark
25 Todorov, Viktor
23 Shephard, Neil
22 Benth, Fred Espen
22 Leonenko, Nikolai N.
21 Jacod, Jean
20 Mykland, Per Aslak
18 Tauchen, George E.
16 Bollerslev, Tim
16 Koopman, Siem Jan
16 Omori, Yasuhiro
16 Zhang, Xinsheng
15 McAleer, Michael
14 Asai, Manabu
14 Veraart, Almut E. D.
13 Liu, Zhi
13 Madan, Dilip B.
13 Meddahi, Nour
13 Roberts, Gareth O.
13 Vetter, Mathias
11 Aït-Sahalia, Yacine
11 Doucet, Arnaud
11 Kallsen, Jan
11 Kong, Xinbing
11 Lunde, Asger
11 Renault, Eric
11 Stelzer, Robert
10 Andersen, Torben G.
10 Bibinger, Markus
10 Fan, Jianqing
10 Kim, Donggyu
10 Li, Yingying
10 Xiu, Dacheng
10 Yoshida, Nakahiro
10 Zhang, Lan
10 Zhang, Shibin
9 Dellaportas, Petros
9 Frühwirth-Schnatter, Sylvia
9 Gloter, Arnaud
9 Griffin, Jim E.
9 Lopes, Hedibert Freitas
9 Patton, Andrew J.
9 Proietti, Tommaso
9 Wang, Yazhen
9 Zhang, Xibin
8 Christensen, Kim
8 Fearnhead, Paul
8 Gonçalves, Sílvia
8 Hounyo, Ulrich
8 Klüppelberg, Claudia
8 Kohn, Robert J.
8 Mancino, Maria Elvira
8 Migon, Helio S.
8 Moulines, Eric
8 Papaspiliopoulos, Omiros
8 Shin, Dongwan
8 Yor, Marc
7 Abanto-Valle, Carlos Antonio
7 Brockwell, Peter J.
7 Carvalho, Carlos Marinho
7 Chib, Siddhartha
7 Douc, Randal
7 Genon-Catalot, Valentine
7 Hansen, Peter Reinhard
7 Jasra, Ajay
7 Jing, Bingyi
7 Mancini, Cecilia
7 Masuda, Hiroki
7 Olsson, Jimmy
7 Ooms, Marius
7 Rosenbaum, Mathieu
7 Sgarra, Carlo
7 Sorensen, Michael
7 Taqqu, Murad S.
7 Zheng, Xinghua
6 Bandi, Federico M.
6 Chopin, Nicolas
6 Corcuera, José Manuel
6 Figueroa-López, José E.
6 Gamerman, Dani
6 Geman, Hélyette
6 Ghysels, Eric
6 Golightly, Andrew
6 Hubalek, Friedrich
6 Kawai, Reiichiro
6 Koop, Gary
6 Lachos Dávila, Víctor Hugo
6 Liesenfeld, Roman
6 Lindner, Alexander M.
6 Liu, Guangying
6 Maheu, John M.
6 Martin, Gael M.
6 Muhle-Karbe, Johannes
6 Nakajima, Jouchi
6 Oomen, Roel C. A.
6 Phillips, Peter Charles Bonest
6 Polson, Nicholas G.
6 Reiß, Markus
6 Ruiz, Esther
...and 2,383 more Authors
all top 5

Cited in 223 Serials

303 Journal of Econometrics
132 Computational Statistics and Data Analysis
73 Stochastic Processes and their Applications
72 Quantitative Finance
48 The Annals of Statistics
45 Bernoulli
37 Econometric Reviews
37 Econometric Theory
36 Statistics & Probability Letters
35 Statistics and Computing
30 Journal of Time Series Analysis
30 International Journal of Theoretical and Applied Finance
28 Journal of Statistical Planning and Inference
28 Journal of Economic Dynamics & Control
27 The Annals of Applied Probability
27 Computational Statistics
26 Scandinavian Journal of Statistics
24 Economics Letters
24 Journal of Statistical Computation and Simulation
22 Advances in Applied Probability
21 Journal of the American Statistical Association
21 The Econometrics Journal
20 Applied Mathematical Finance
20 Finance and Stochastics
19 Journal of Applied Probability
19 Communications in Statistics. Theory and Methods
19 Mathematical Finance
19 Journal of Applied Statistics
17 Communications in Statistics. Simulation and Computation
17 Electronic Journal of Statistics
15 Journal of the Royal Statistical Society. Series B. Statistical Methodology
15 The Annals of Applied Statistics
14 Annals of the Institute of Statistical Mathematics
14 Journal of Multivariate Analysis
14 Mathematics and Computers in Simulation
14 Statistical Inference for Stochastic Processes
14 Methodology and Computing in Applied Probability
13 Stochastic Analysis and Applications
13 European Journal of Operational Research
13 Applied Stochastic Models in Business and Industry
13 Bayesian Analysis
12 Journal of Computational and Applied Mathematics
12 Statistical Papers
11 Statistical Science
11 Annals of Finance
10 Insurance Mathematics & Economics
9 The Canadian Journal of Statistics
9 Automatica
9 Computational Economics
9 Brazilian Journal of Probability and Statistics
9 Review of Derivatives Research
9 Statistical Methods and Applications
9 AStA. Advances in Statistical Analysis
8 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
8 Test
8 Statistical Modelling
8 Asia-Pacific Financial Markets
8 Journal of Forecasting
8 Journal of the Korean Statistical Society
7 Biometrics
7 Journal of Theoretical Probability
7 Stochastics
6 Lithuanian Mathematical Journal
6 Physica A
6 Statistica Neerlandica
6 Journal of the Royal Statistical Society. Series C. Applied Statistics
6 Journal of Time Series Econometrics
5 Journal of Mathematical Analysis and Applications
5 Mathematical Biosciences
5 Applied Mathematics and Computation
5 International Journal of Adaptive Control and Signal Processing
5 Journal of Nonparametric Statistics
5 Decisions in Economics and Finance
5 SIAM Journal on Financial Mathematics
5 Journal of Probability and Statistics
4 Journal of Statistical Physics
4 Psychometrika
4 Chaos, Solitons and Fractals
4 Annals of Operations Research
4 Applied Mathematics. Series B (English Edition)
4 Mathematical Problems in Engineering
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Mathematics and Financial Economics
4 SIAM/ASA Journal on Uncertainty Quantification
4 Modern Stochastics. Theory and Applications
3 International Journal of Systems Science
3 Journal of Computational Physics
3 Journal of Mathematical Biology
3 Metrika
3 Information Sciences
3 International Statistical Review
3 Probability Theory and Related Fields
3 Mathematical and Computer Modelling
3 Signal Processing
3 Neural Computation
3 Theory of Probability and Mathematical Statistics
3 Electronic Journal of Probability
3 Studies in Nonlinear Dynamics and Econometrics
3 Australian & New Zealand Journal of Statistics
3 Discrete Dynamics in Nature and Society
...and 123 more Serials

Citations by Year