K
Kevin Sheppard
Researcher at University of Oxford
Publications - 44
Citations - 17960
Kevin Sheppard is an academic researcher from University of Oxford. The author has contributed to research in topics: Covariance & Volatility (finance). The author has an hindex of 24, co-authored 43 publications receiving 8097 citations. Previous affiliations of Kevin Sheppard include University of Texas at Austin.
Papers
More filters
Journal ArticleDOI
Array programming with NumPy
Charles R. Harris,K. Jarrod Millman,Stefan van der Walt,Stefan van der Walt,Ralf Gommers,Pauli Virtanen,David Cournapeau,Eric Wieser,Julian Taylor,Sebastian Berg,Nathaniel J. Smith,Robert Kern,Matti Picus,Stephan Hoyer,Marten H. van Kerkwijk,Matthew Brett,Matthew Brett,Allan Haldane,Jaime Fernández del Río,Mark Wiebe,Mark Wiebe,Pearu Peterson,Pierre Gérard-Marchant,Kevin Sheppard,Tyler Reddy,Warren Weckesser,Hameer Abbasi,Christoph Gohlke,Travis E. Oliphant +28 more
TL;DR: In this paper, the authors review how a few fundamental array concepts lead to a simple and powerful programming paradigm for organizing, exploring and analysing scientific data, and their evolution into a flexible interoperability layer between increasingly specialized computational libraries is discussed.
Journal ArticleDOI
Array Programming with NumPy
Charles R. Harris,K. Jarrod Millman,Stefan van der Walt,Stefan van der Walt,Ralf Gommers,Pauli Virtanen,David Cournapeau,Eric Wieser,Julian Taylor,Sebastian Berg,Nathaniel J. Smith,Robert Kern,Matti Picus,Stephan Hoyer,Marten H. van Kerkwijk,Matthew Brett,Matthew Brett,Allan Haldane,Jaime Fernández del Río,Mark Wiebe,Mark Wiebe,Pearu Peterson,Pierre Gérard-Marchant,Kevin Sheppard,Tyler Reddy,Warren Weckesser,Hameer Abbasi,Christoph Gohlke,Travis E. Oliphant +28 more
TL;DR: How a few fundamental array concepts lead to a simple and powerful programming paradigm for organizing, exploring and analysing scientific data is reviewed.
Journal ArticleDOI
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
TL;DR: This paper proposed a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model, which allows for series-specific news impact and smoothing parameters and permits conditional asymmetries in correlation dynamics.
Posted Content
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
Robert F. Engle,Kevin Sheppard +1 more
TL;DR: In this article, the problem of multivariate conditional variance estimation can be simplified by estimating univariate GARCH models for each asset, and then, using transformed residuals resulting from the first stage, estimating a conditional correlation estimator.
Journal ArticleDOI
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Andrew J. Patton,Kevin Sheppard +1 more
TL;DR: This paper showed that future volatility is more strongly related to the volatility of past negative returns than to that of positive returns and that the impact of a price jump on volatility depends on the sign of the jump, with negative (positive) jumps leading to higher volatility.