Neil Shephard

Neil Shephard

Professor of Economics and of Statistics
Department Chair
Neil Shephard

Research Interests

  • Theoretical and applied econometrics
  • Bayesian inference of stochastic models
  • Statistical analysis of stochastic processes
  • Finance
  • Monte Carlo methods

Education

  • Ph.D., London School of Economics, 1990.
  • M.Sc. in Statistics, London School of Economics, June 1987.
  • B.A. in Economics and Statistics, York University (England), June 1986.

Experience

  • September 2013 -- now, Professor of Economics and of Statistics, Harvard University
  • October 2006 -- 2013, Professor of Economics (Statutory Chair), University of Oxford and Professorial Fellow, Nuffield College, Oxford
  • October 1993 -- 2006, Official Fellow in Economics, Nuffield College, Oxford and from 1999 onwards Professor of Economics, Oxford
  • October 1991 -- 1993, Gatsby Research Fellow in Econometrics, Nuffield College, Oxford
  • October 1988 -- 1993, Lecturer in Statistics, London School of Economics

Sample Publications

  • Neil Shephard, Ole E. Barndorff-Nielsen, Peter R Hansen and Asger Lunde (2011). Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading, Journal of Econometrics, 162, 149-169
  • Neil Shephard, Ole E. Barndorff-Nielsen, Peter R Hansen and Asger Lunde (2008). Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, Econometrica, 76, 1481-1536
  • Neil Shephard and Ole E. Barndorff-Nielsen (2005). Power variation and time change, Teoriya Veroyatnostei i ee Primeneniya, 50, 115-130. Reprinted in Theory of Probability and Its Applications, 2005, 50, 1-15.
  • Neil Shephard and Ole E. Barndorff-Nielsen (2004). Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economic, Econometrica, 72, 885-925.
  • Neil Shephard and Ole E. Barndorff-Nielsen (2002). Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B, 63, 253-280.
  • Neil Shephard and Ole E. Barndorff-Nielsen (2001). Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics (with discussion), Journal of the Royal Statistical Society, Series B, 63, 2001, 167-241.
  • Neil Shephard and Michael K Pitt (1999). Filtering via simulation: auxiliary particle filter, Journal of the American Statistical Association, 94, 1999, 590-599

Personal Website

Contact Information

SC 613

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