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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.

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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

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.
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Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

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.