| Array programming with NumPy CR Harris, KJ Millman, SJ Van Der Walt, R Gommers, P Virtanen, ... Nature 585 (7825), 357-362, 2020 | 21609 | 2020 |
| Asymmetric dynamics in the correlations of global equity and bond returns L Cappiello, RF Engle, K Sheppard Journal of Financial econometrics 4 (4), 537-572, 2006 | 2406 | 2006 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH R Engle | 2169 | 2001 |
| Good volatility, bad volatility: Signed jumps and the persistence of volatility AJ Patton, K Sheppard Review of Economics and Statistics 97 (3), 683-697, 2015 | 842 | 2015 |
| Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes LY Liu, AJ Patton, K Sheppard Journal of Econometrics 187 (1), 293-311, 2015 | 729 | 2015 |
| Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models N Shephard, K Sheppard Journal of Applied Econometrics 25 (2), 197-231, 2010 | 554 | 2010 |
| Multivariate high‐frequency‐based volatility (HEAVY) models D Noureldin, N Shephard, K Sheppard Journal of Applied Econometrics 27 (6), 907-933, 2012 | 306 | 2012 |
| Evaluating volatility and correlation forecasts AJ Patton, K Sheppard Handbook of financial time series, 801-838, 2009 | 298 | 2009 |
| Oxford-Man Institute’s realized library G Heber, A Lunde, N Shephard, K Sheppard Version 0.1, Oxford&Man Institute, University of Oxford, 2009 | 239 | 2009 |
| Optimal combinations of realised volatility estimators AJ Patton, K Sheppard International Journal of Forecasting 25 (2), 218-238, 2009 | 182 | 2009 |
| Fitting vast dimensional time-varying covariance models. R Engle, N Shephard, K Sheppard Oxford-Man Institute of Quantitative Finance, 2008 | 177 | 2008 |
| Ambiguity and the historical equity premium F Collard, S Mukerji, K Sheppard, JM Tallon Quantitative Economics 9 (2), 945-993, 2018 | 160 | 2018 |
| Fitting vast dimensional time-varying covariance models C Pakel, N Shephard, K Sheppard, RF Engle Journal of Business & Economic Statistics 39 (3), 652-668, 2021 | 151 | 2021 |
| Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice A Lunde, N Shephard, K Sheppard Journal of Business & Economic Statistics 34 (4), 504-518, 2016 | 111* | 2016 |
| Evaluating the specification of covariance models for large portfolios R Engle, K Sheppard New York University, working paper, 2008 | 95 | 2008 |
| Realized covariance and scrambling K Sheppard Unpublished manuscript 33, 2006 | 85 | 2006 |
| Multivariate rotated ARCH models D Noureldin, N Shephard, K Sheppard Journal of Econometrics 179 (1), 16-30, 2014 | 75 | 2014 |
| Financial econometrics notes K Sheppard University of Oxford, 333-426, 2010 | 72 | 2010 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models C Pakel, N Shephard, K Sheppard Statistica Sinica, 307-329, 2011 | 59 | 2011 |
| Understanding the dynamics of equity covariance K Sheppard Manuscript, UCSD, 2002 | 57 | 2002 |
Andrew PattonZelter Family Professor of Economics and Finance, Duke UniversityVerified email at duke.edu