Neil Shephard
Personal Details
First Name: | Neil |
Middle Name: | |
Last Name: | Shephard |
Suffix: | |
RePEc Short-ID: | psh10 |
| |
http://www.people.fas.harvard.edu/~shephard/ | |
Terminal Degree: | 1989 Economics Department; London School of Economics (LSE) (from RePEc Genealogy) |
Affiliation
Department of Economics
Harvard University
Cambridge, Massachusetts (United States)http://www.economics.harvard.edu/
RePEc:edi:deharus (more details at EDIRC)
Research output
Jump to: Working papers Articles BooksWorking papers
- Ashesh Rambachan & Neil Shephard, 2019. "Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function," Papers 1903.01637, arXiv.org, revised Feb 2020.
- Lorraine Deardon & Neil Shephard & Jack Britton & Anna Vignoles, 2016.
"How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background,"
Working Paper
397281, Harvard University OpenScholar.
- Jack Britton & Lorraine Dearden & Neil Shephard & Anna Vignoles, 2016. "How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background," IFS Working Papers W16/06, Institute for Fiscal Studies.
- Bornn, Luke & Neil Shephard & Reza Solgi, 2016.
"Moment conditions and Bayesian nonparametrics,"
Working Paper
360971, Harvard University OpenScholar.
- Luke Bornn & Neil Shephard & Reza Solgi, 2019. "Moment conditions and Bayesian non‐parametrics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 81(1), pages 5-43, February.
- Jack Britton & Neil Shephard & Anna Vignoles, 2015. "Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession," IFS Working Papers W15/28, Institute for Fiscal Studies.
- Neil Shephard, 2013.
"Martingale unobserved component models,"
Economics Papers
2013-W01, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
- Neil Shephard, 2013. "Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality," Economics Papers 2013-W06, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Dacheng Xiu, 2012.
"Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices,"
Economics Papers
2012-W04, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers 604, University of Oxford, Department of Economics.
- Arnaud Doucet & Neil Shephard, 2012.
"Robust inference on parameters via particle filters and sandwich covariance matrices,"
Economics Papers
2012-W05, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Arnaud Doucet, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers 606, University of Oxford, Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
"Multivariate Rotated ARCH Models,"
Economics Papers
2012-W01, Economics Group, Nuffield College, University of Oxford.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Scholarly Articles 34650305, Harvard University Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
- Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012.
"Efficient and feasible inference for the components of financial variation using blocked multipower variation,"
Economics Papers
2012-W02, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers 593, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2012.
"Basics of Levy processes,"
Economics Papers
2012-W06, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011.
"Multivariate High-Frequency-Based Volatility (HEAVY) Models,"
Economics Papers
2011-W01, Economics Group, Nuffield College, University of Oxford.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010. "Integer-valued Lévy processes and low latency financial econometrics," CREATES Research Papers 2010-66, Department of Economics and Business Economics, Aarhus University.
- Neil Shephard, 2010. "Submission to the review on “Higher Education Funding and Student Finance”," Economics Papers 2010-W01, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard, 2010.
"Deferred fees for universities,"
Economics Papers
2010-W03, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard, 2010. "Deferred Fees For Universities," Economic Affairs, Wiley Blackwell, vol. 30(2), pages 40-44, June.
- Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen, 2010.
"Discrete-valued Levy processes and low latency financial econometrics,"
Economics Series Working Papers
490, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010. "Discrete-valued Levy processes and low latency financial econometrics," Economics Papers 2010-W04, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Thomas Flury, 2009. "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers 469, University of Oxford, Department of Economics.
- Neil Shephard & Kevin Sheppard, 2009.
"Realising the future: forecasting with high frequency based volatility (HEAVY) models,"
Economics Papers
2009-W03, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard, 2009.
"Nuisance parameters, composite likelihoods and a panel of GARCH models,"
Economics Series Working Papers
458, University of Oxford, Department of Economics.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers 2009-W12, Economics Group, Nuffield College, University of Oxford.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
- Neil Shephard, 2009.
"Income contingent tuition fees for universities,"
Economics Series Working Papers
454, University of Oxford, Department of Economics.
- Neil Shephard, 2009. "Income contingent tuition fees for universities," Economics Papers 2009-W13, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard, 2009. "Income contingent tuition fees for universities," OFRC Working Papers Series 2009fe04, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"Fitting vast dimensional time-varying covariance models,"
Economics Series Working Papers
403, University of Oxford, Department of Economics.
- Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Neil Shephard & Torben G. Andersen, 2008.
"Stochastic Volatility: Origins and Overview,"
OFRC Working Papers Series
2008fe23, Oxford Financial Research Centre.
- Neil Shephard & Torben Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008.
"Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
Economics Series Working Papers
397, University of Oxford, Department of Economics.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2008.
"Modelling and measuring volatility,"
OFRC Working Papers Series
2008fe31, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2008. "Modelling and measuring volatility," Economics Series Working Papers 2008--FE-31, University of Oxford, Department of Economics.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR model: a multivariate dynamic mixture autoregression,"
THEMA Working Papers
2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Thomas Flury & Neil Shephard, 2008.
"Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models,"
OFRC Working Papers Series
2008fe32, Oxford Financial Research Centre.
- Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, vol. 27(5), pages 933-956, October.
- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
"Measuring downside risk — realised semivariance,"
CREATES Research Papers
2008-42, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk-realised semivariance," Economics Papers 2008-W02, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
"Subsampling realised kernels,"
OFRC Working Papers Series
2006fe06, Oxford Financial Research Centre.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise,"
Economics Papers
2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2005. "The Autoregressive Conditional Root (ACR) Model," Working Papers 2005-26, Center for Research in Economics and Statistics.
- Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
"Limit theorems for multipower variation in the presence of jumps,"
Economics Papers
2005-W07, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006. "Limit theorems for multipower variation in the presence of jumps," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 796-806, May.
- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre.
- Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Series Working Papers 2005-FE-06, University of Oxford, Department of Economics.
- Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
Economics Series Working Papers
240, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"Limit theorems for bipower variation in financial econometrics,"
Economics Papers
2005-W06, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006. "Limit Theorems For Bipower Variation In Financial Econometrics," Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
"Stochastic Volatility with Leverage: Fast Likelihood Inference,"
CIRJE F-Series
CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.
- Neil Shephard & Yashurio Omori & Faculty of Economics & University of Tokyo & Siddhartha Chib & Olin School of Business & Washington University & Jouchi Nakajima & Faculty of Economics & University of, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Series Working Papers 2004-FE-16, University of Oxford, Department of Economics.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
- Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
"Likelihood based inference for diffusion driven models,"
Economics Papers
2004-W20, Economics Group, Nuffield College, University of Oxford.
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )," CARF F-Series CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004.
"A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales,"
Economics Papers
2004-W29, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004. "A central limit theorem for realised power and bipower variations of continuous semimartingales," Technical Reports 2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre.
- Ole Barndorff-Nielsen & Neil Shephard, 2004.
"Multipower Variation and Stochastic Volatility,"
Economics Papers
2004-W30, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus, 2004. "Multipower Variation and Stochastic Volatility," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
"Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise,"
Economics Papers
2004-W28, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre.
- Charles S. Bos & Neil Shephard, 2004.
"Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form,"
Economics Papers
2004-W02, Economics Group, Nuffield College, University of Oxford.
- Charles Bos & Neil Shephard, 2006. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
- Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"A Feasible Central Limit Theory for Realised Volatility Under Leverage,"
Economics Papers
2004-W03, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "A feasible central limit theory for realised volatility under leverage," Economics Series Working Papers 2004-FE-03, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Econometrics of testing for jumps in financial economics using bipower variation,"
Economics Papers
2003-W21, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Power and bipower variation with stochastic volatility and jumps,"
Economics Papers
2003-W17, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes,"
Economics Papers
2003-W12, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
- Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002.
"Likelihood-based estimation of latent generalised ARCH structures,"
Economics Papers
2002-W19, Economics Group, Nuffield College, University of Oxford.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Siem Jan Koopman & Neil Shephard, 2002. "Testing the Assumptions Behind the Use of Importance Sampling," Economics Papers 2002-W17, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
- Tina Hviid Rydberg & Neil Shephard, 2002.
"Dynamics of trade-by-trade price movements: decomposition and models,"
Economics Papers
2002-W1, Economics Group, Nuffield College, University of Oxford.
- Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 2-25.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Power Variation and Time Change," Economics Papers 2002-W24, Economics Group, Nuffield College, University of Oxford.
- Siddhartha Chib & Neil Shephard, 2001. "Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"," Economics Papers 2001-W26, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"Normal modified stable processes,"
Economics Papers
2001-W6, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Normal Modified Stable Processes," Economics Series Working Papers 72, University of Oxford, Department of Economics.
- Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001.
"Some recent developments in stochastic volatility modelling,"
Economics Papers
2001-W25, Economics Group, Nuffield College, University of Oxford.
- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics,"
Economics Papers
2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," Economics Series Working Papers 2002-FE-03, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," OFRC Working Papers Series 2002fe03, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Integrated OU Processes," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Higher order variation and stochastic volatility models," Economics Papers 2001-W8, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "How accurate is the asymptotic approximation to the distribution of realised volatility?," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"Econometric analysis of realised volatility and its use in estimating stochastic volatility models,"
Economics Papers
2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
- Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
- Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre.
- Barndorff-Nielsen, O.E. & Shepard, N., 2000. "Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics," Economics Papers 1999-w9/2000-w3, Economics Group, Nuffield College, University of Oxford.
- Elerian, O. & Chib, S. & Shephard, N., 1998.
"Likelihood INference for Discretely Observed Non-linear Diffusions,"
Economics Papers
146, Economics Group, Nuffield College, University of Oxford.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-993, July.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998.
"Statistical Algorithms for Models in State Space Using SsfPack 2.2,"
Discussion Paper
1998-141, Tilburg University, Center for Economic Research.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
- Barndorf-Nielsen, O.E. & Shephard, N., 1998. "Aggregation and Model Construction for Volatility Models," Economics Papers 141, Economics Group, Nuffield College, University of Oxford.
- Michael K Pitt & Neil Shephard, 1996.
"Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models,"
Economics Papers
20 & 113, Economics Group, Nuffield College, University of Oxford.
- Michael K. Pitt & Neil Shephard, 1999. "Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(1), pages 63-85, January.
- Neil Shephard, 1995. "Generalized linear autoregressions," Economics Papers 8., Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Michael K Pitt, 1995.
"Likelihood analysis of non-Gaussian parameter driven models,"
Economics Papers
15 & 108., Economics Group, Nuffield College, University of Oxford.
- Shephard, N. & Pitt, M.K., 1995. "Likelihood Analysis of Non-Gaussian Parameter-Driven Models," Economics Papers 108, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard, 1994.
"Stochastic volatility: likelihood inference and comparison with ARCH models,"
Economics Papers
3., Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, University Library of Munich, Germany.
- Andrew C Harvey & N.G. Shephard, 1993. "Estimation and Testing of Stochastic Variance Models," STICERD - Econometrics Paper Series 268, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Siem Jan Koopman & N.G. Shephard, 1992. "Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)," STICERD - Econometrics Paper Series 241, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- A.C. Atkinson & N.G. Shephard, 1992. "Deletion Diagnostics and Transformations for Time Series," STICERD - Econometrics Paper Series 245, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- N.G. Shephard, 1990. "A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.)," STICERD - Econometrics Paper Series 220, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Neil Shephard & Justin J Yang, "undated".
"Continuous time analysis of fleeting discrete price moves,"
Working Paper
360986, Harvard University OpenScholar.
- Neil Shephard & Justin J. Yang, 2017. "Continuous Time Analysis of Fleeting Discrete Price Moves," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1090-1106, July.
- Neil Shephard & Justin J. Yang, 2014. "Continuous time analysis of fleeting discrete price moves," Papers 1410.7317, arXiv.org, revised Jan 2015.
- Neil Shephard, "undated". "The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model," Economics Papers 1997-W6., Economics Group, Nuffield College, University of Oxford.
- Jurgen A. Doornik & David F. Hendry & Neil Shephard, "undated". "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Justin Yang & Mark Podolskij & Robert Stelzer & S Thorbjornsen, "undated". "Likelihood Inference for Exponential-Trawl Processes," Working Paper 360826, Harvard University OpenScholar.
- Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
Articles
- Luke Bornn & Neil Shephard & Reza Solgi, 2019.
"Moment conditions and Bayesian non‐parametrics,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 81(1), pages 5-43, February.
- Bornn, Luke & Neil Shephard & Reza Solgi, 2016. "Moment conditions and Bayesian nonparametrics," Working Paper 360971, Harvard University OpenScholar.
- Jack Britton & Neil Shephard & Anna Vignoles, 2019. "A comparison of sample survey measures of earnings of English graduates with administrative data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 719-754, June.
- Jack Britton & Lorraine Dearden & Neil Shephard & Anna Vignoles, 2019. "Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(2), pages 328-368, April.
- Neil Shephard & Justin J. Yang, 2017.
"Continuous Time Analysis of Fleeting Discrete Price Moves,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1090-1106, July.
- Neil Shephard & Justin J. Yang, 2014. "Continuous time analysis of fleeting discrete price moves," Papers 1410.7317, arXiv.org, revised Jan 2015.
- Neil Shephard & Justin J Yang, "undated". "Continuous time analysis of fleeting discrete price moves," Working Paper 360986, Harvard University OpenScholar.
- Shephard, Neil & Xiu, Dacheng, 2017. "Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading," Journal of Econometrics, Elsevier, vol. 201(1), pages 19-42.
- Asger Lunde & Neil Shephard & Kevin Sheppard, 2016. "Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 504-518, October.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014.
"Multivariate rotated ARCH models,"
Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Scholarly Articles 34650305, Harvard University Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2014.
"Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(3), pages 693-724, September.
- Barndorff-Nielsen, Ole E. & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D., 2014. "Integer-valued trawl processes: A class of stationary infinitely divisible processes," Scholarly Articles 34650304, Harvard University Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
"Multivariate high‐frequency‐based volatility (HEAVY) models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers 2011-W01, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012. "Integer-valued L�vy processes and low latency financial econometrics," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.
- Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011. "Realized Volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Subsampling realised kernels,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics.
- Flury, Thomas & Shephard, Neil, 2011.
"Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models,"
Econometric Theory, Cambridge University Press, vol. 27(5), pages 933-956, October.
- Thomas Flury & Neil Shephard, 2008. "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," OFRC Working Papers Series 2008fe32, Oxford Financial Research Centre.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Neil Shephard & Kevin Sheppard, 2010.
"Realising the future: forecasting with high-frequency-based volatility (HEAVY) models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.
- Neil Shephard, 2010.
"Deferred Fees For Universities,"
Economic Affairs, Wiley Blackwell, vol. 30(2), pages 40-44, June.
- Neil Shephard, 2010. "Deferred fees for universities," Economics Papers 2010-W03, Economics Group, Nuffield College, University of Oxford.
- Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
- O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009. "Realized kernels in practice: trades and quotes," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 1-32, November.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise,"
Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR Model: A Multivariate Dynamic Mixture Autoregression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics.
- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"Limit Theorems For Bipower Variation In Financial Econometrics,"
Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
- Charles Bos & Neil Shephard, 2006.
"Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form,"
Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
- Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
- Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
"Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
"Limit theorems for multipower variation in the presence of jumps,"
Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 796-806, May.
- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre.
- Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Series Working Papers 2005-FE-06, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 179-181, April.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"Likelihood-Based Estimation of Latent Generalized ARCH Structures,"
Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics," Econometrica, Econometric Society, vol. 72(3), pages 885-925, May.
- B. Nielsen & N. Shephard, 2003. "Likelihood analysis of a first‐order autoregressive model with exponential innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 337-344, May.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2003. "Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(2), pages 277-295, June.
- Tina Hviid Rydberg & Neil Shephard, 2003.
"Dynamics of Trade-by-Trade Price Movements: Decomposition and Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 2-25.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.
- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"Some recent developments in stochastic volatility modelling,"
Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
- Chib, Siddhartha & Shephard, Neil, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 325-327, July.
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2002.
"Econometric analysis of realized volatility and its use in estimating stochastic volatility models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"Likelihood Inference for Discretely Observed Nonlinear Diffusions,"
Econometrica, Econometric Society, vol. 69(4), pages 959-993, July.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
- Michael K. Pitt & Neil Shephard, 1999.
"Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 20(1), pages 63-85, January.
- Michael K Pitt & Neil Shephard, 1996. "Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models," Economics Papers 20 & 113, Economics Group, Nuffield College, University of Oxford.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998.
"Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, University Library of Munich, Germany.
- Aurora Manrique & Neil Shephard, 1998. "Simulation-based likelihood inference for limited dependent processes," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 174-202.
- David F. Hendry & Neil Shephard, 1998. "Foreword by the Editors," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 1-1.
- Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997. "Detecting shocks: Outliers and breaks in time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 387-422, October.
- Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-434, October.
- Shephard, Neil, 1994. "Local scale models : State space alternative to integrated GARCH processes," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 181-202.
- Shephard, Neil & Kim, Sangjoon, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 406-410, October.
- Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
- Shephard, Neil, 1993. "Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 135-152, Suppl. De.
- Shephard, Neil, 1993. "Distribution of the ML Estimator of an MA(1) and a local level model," Econometric Theory, Cambridge University Press, vol. 9(3), pages 377-401, June.
- Shephard, N.G., 1991. "From Characteristic Function to Distribution Function: A Simple Framework for the Theory," Econometric Theory, Cambridge University Press, vol. 7(4), pages 519-529, December.
- N. G. Shephard & A. C. Harvey, 1990. "On The Probability Of Estimating A Deterministic Component In The Local Level Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(4), pages 339-347, July.
Books
- Castle, Jennifer & Shephard, Neil (ed.), 2015. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780198743781.
- Koopman, Siem Jan & Shephard, Neil (ed.), 2015. "Unobserved Components and Time Series Econometrics," OUP Catalogue, Oxford University Press, number 9780199683666.
- Harvey,Andrew & Koopman,Siem Jan & Shephard,Neil (ed.), 2012. "State Space and Unobserved Component Models," Cambridge Books, Cambridge University Press, number 9781107407435, October.
- Castle, Jennifer & Shephard, Neil (ed.), 2009. "The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry," OUP Catalogue, Oxford University Press, number 9780199237197.
- Shephard, Neil (ed.), 2005.
"Stochastic Volatility: Selected Readings,"
OUP Catalogue,
Oxford University Press, number 9780199257201.
RePEc:cup:cbooks:9780521835954 is not listed on IDEAS
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Featured entries
This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:- Neil Shephard in Wikipedia (German)
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 94 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (69) 2001-08-15 2001-09-10 2001-10-16 2001-10-16 2001-10-16 2001-12-04 2001-12-19 2002-04-06 2002-05-03 2003-04-13 2003-06-09 2003-06-09 2004-01-25 2004-01-25 2004-01-25 2004-01-25 2004-01-25 2004-02-01 2004-03-03 2004-03-03 2004-07-17 2004-08-31 2004-09-30 2004-12-12 2004-12-12 2004-12-12 2004-12-12 2004-12-20 2004-12-20 2004-12-20 2005-07-03 2005-07-03 2005-07-03 2006-03-18 2006-03-18 2006-03-18 2006-04-01 2006-06-17 2006-08-26 2006-09-16 2008-03-15 2008-04-12 2008-07-20 2008-10-07 2008-11-11 2008-12-01 2008-12-07 2009-01-03 2009-04-18 2009-07-28 2009-10-24 2009-12-11 2009-12-11 2010-02-05 2010-09-25 2010-10-09 2011-03-05 2012-03-08 2012-03-08 2012-05-02 2012-06-25 2012-06-25 2012-06-25 2013-03-09 2016-01-18 2016-02-04 2016-02-29 2016-05-21 2019-03-11. Author is listed
- NEP-ETS: Econometric Time Series (55) 2001-08-15 2001-09-10 2001-09-10 2001-10-16 2001-10-16 2001-10-16 2001-12-19 2001-12-19 2002-04-03 2002-05-03 2003-04-13 2003-06-04 2004-01-18 2004-01-18 2004-01-18 2004-01-25 2004-01-25 2004-02-01 2004-02-29 2004-02-29 2004-07-11 2004-08-31 2004-09-30 2004-12-12 2004-12-12 2004-12-12 2004-12-20 2004-12-20 2005-07-03 2006-03-18 2006-03-18 2006-03-18 2006-04-01 2006-04-01 2006-09-16 2006-10-14 2008-03-15 2008-03-25 2008-04-12 2008-07-20 2008-10-07 2008-10-13 2008-11-11 2008-12-07 2009-01-03 2009-04-18 2009-10-24 2009-12-11 2010-02-05 2010-10-09 2011-03-05 2012-03-08 2012-05-02 2013-03-09 2019-03-11. Author is listed
- NEP-MST: Market Microstructure (17) 2006-06-17 2006-08-26 2006-09-16 2006-09-23 2006-10-14 2008-02-02 2008-02-16 2008-09-05 2009-07-28 2009-07-28 2009-12-11 2010-10-09 2011-03-05 2012-03-08 2012-05-02 2012-06-25 2014-11-22. Author is listed
- NEP-FIN: Finance (12) 2001-10-16 2004-01-18 2004-01-18 2004-01-18 2004-01-25 2004-02-01 2004-02-29 2004-04-25 2004-08-31 2004-12-12 2004-12-12 2004-12-20. Author is listed
- NEP-RMG: Risk Management (11) 2003-04-13 2004-01-18 2004-02-01 2004-08-31 2005-07-03 2006-04-01 2008-02-02 2008-02-16 2008-09-05 2008-10-13 2011-03-05. Author is listed
- NEP-ORE: Operations Research (9) 2008-03-25 2008-10-07 2008-10-13 2008-12-01 2009-10-24 2012-05-02 2012-06-25 2012-06-25 2012-06-25. Author is listed
- NEP-FMK: Financial Markets (8) 2001-09-10 2004-02-01 2006-04-01 2006-04-01 2006-06-17 2006-08-26 2008-02-16 2012-03-08. Author is listed
- NEP-FOR: Forecasting (6) 2009-07-28 2009-12-11 2011-03-05 2013-03-09 2013-03-16 2013-06-30. Author is listed
- NEP-CMP: Computational Economics (5) 2001-12-14 2004-02-01 2004-07-11 2004-08-31 2010-02-05. Author is listed
- NEP-EDU: Education (5) 2009-10-10 2009-10-24 2009-12-11 2010-09-25 2016-06-18. Author is listed
- NEP-IFN: International Finance (4) 2001-12-04 2002-04-03 2004-01-18 2004-01-25
- NEP-CBA: Central Banking (3) 2008-03-15 2008-12-01 2011-03-05
- NEP-LAB: Labour Economics (2) 2010-09-18 2010-09-25
- NEP-MAC: Macroeconomics (2) 2002-07-31 2008-12-07
- NEP-CFN: Corporate Finance (1) 2006-04-01
- NEP-DGE: Dynamic General Equilibrium (1) 2008-12-07
- NEP-EUR: Microeconomic European Issues (1) 2016-06-18
- NEP-HPE: History and Philosophy of Economics (1) 2008-03-25
- NEP-MIC: Microeconomics (1) 2002-04-03
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