Pitt, Michael K, and Neil Shephard. 1999. “Time varying covariances: a factor stochastic volatility approach.” Bayesian Statistics 6, Proceedings of the Sixth Valencia International Meeting, (edited by J.M. Bernardo, J.O. Berger, A.P. Dawid and A.F.M Smith), 547-570. Oxford: Oxford University Press.
Reprinted in "Recent Developments in Time Series", (editors Stephen Leybourne and Paul Newbold), in "The International Library of Critical Writings in Econometrics, Volume 2" Edward Elgar Publishers, 2003, 196-228. Reprinted in "Stochastic Volatility: Selected Readings," (editor N. Shephard), 2005, 283-322, Oxford University Press.
Shephard, Neil. 1996. “Statistical aspects of ARCH and stochastic volatility.” Time Series Models in Econometrics, Finance and Other Fields, (edited by D.R. Cox, David V. Hinkley and Ole E. Barndorff-Neilsen), 1-67. London: Chapman & Hall.
Reprinted in the Survey of Applied and Industrial Mathematics, issue on Financial and insurance mathematics, 3, 764-826, Scientific Publisher TVP, Moscow, 1996 (in Russian).
Atkinson, Anthony C, Siem Jan Koopman, and Neil Shephard. 1994. “Outliers and switches in time series.” Asymptotic Statistics, (edited by P. Mandl and M. Huskova), 35-48. Heidelberg: Physica-Verlag.