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Publications by Kevin Sheppard

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Review of Economics and Statistics

Social Sciences

English

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Volatility Jumps and Their Economic Determinants

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Volatility of Aggregate Volatility and Hedge Fund Returns

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Macroeconomic Volatility and Stock Market Volatility, Worldwide

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Intraday Volatility Forecasting From Implied Volatility

International Journal of Managerial Finance

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Strategic Wage Bargaining, Labor Market Volatility, and Persistence

B.E. Journal of Macroeconomics

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Stochastic Volatility of Volatility in Continuous Time

SSRN Electronic Journal

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Volatility and Persistence of Simulated DSGE Real Exchange Rates

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Aggregation, Persistence and Volatility in a Macro Model

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Volatility of Volatility: A Simple Model-Free Motivation

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