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Neil Shephard
Neil Shephard
Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University
Verified email at fas.harvard.edu - Homepage
Title
Cited by
Cited by
Year
Filtering via simulation: Auxiliary particle filters
MK Pitt, N Shephard
Journal of the American statistical association 94 (446), 590-599, 1999
32841999
Stochastic volatility: likelihood inference and comparison with ARCH models
S Kim, N Shephard, S Chib
The review of economic studies 65 (3), 361-393, 1998
29231998
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
OE Barndorff‐Nielsen, N Shephard
Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2002
25082002
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
OE Barndorff‐Nielsen, N Shephard
Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2001
23702001
Power and bipower variation with stochastic volatility and jumps
OE Barndorff-Nielsen, N Shephard
Journal of financial econometrics 2 (1), 1-37, 2004
22142004
Multivariate stochastic variance models
A Harvey, E Ruiz, N Shephard
The Review of Economic Studies 61 (2), 247-264, 1994
19271994
Econometrics of testing for jumps in financial economics using bipower variation
OE Barndorff-Nielsen, N Shephard
Journal of financial Econometrics 4 (1), 1-30, 2006
15302006
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
Econometrica 76 (6), 1481-1536, 2008
14872008
Statistical aspects of ARCH and stochastic volatility
N Shephard
Time series models, 1-67, 2020
12462020
STAMP 6.0: Structural time series analyser, modeller and predictor
SJ Koopman, AC Harvey, JA Doornik, N Shephard
London: Timberlake Consultants, 2000
10202000
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics
OE Barndorff‐Nielsen, N Shephard
Econometrica 72 (3), 885-925, 2004
9902004
Likelihood analysis of non-Gaussian measurement time series
N Shephard, MK Pitt
Biometrika 84 (3), 653-667, 1997
8741997
Markov chain Monte Carlo methods for stochastic volatility models
S Chib, F Nardari, N Shephard
Journal of Econometrics 108 (2), 281-316, 2002
7692002
Realized kernels in practice: Trades and quotes
OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard
The Econometrics Journal 12 (3), C1-C32, 2009
7392009
Estimating quadratic variation using realized variance
OE Barndorff‐Nielsen, N Shephard
Journal of Applied econometrics 17 (5), 457-477, 2002
7132002
The simulation smoother for time series models
P De Jong, N Shephard
Biometrika 82 (2), 339-350, 1995
7041995
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard
Journal of Econometrics 162 (2), 149-169, 2011
6912011
Statistical algorithms for models in state space using SsfPack 2.2
SJ Koopman, N Shephard, JA Doornik
The Econometrics Journal 2 (1), 107-160, 1999
6691999
Stochastic volatility: selected readings
N Shephard
OUP Oxford, 2005
6282005
Estimation of an asymmetric stochastic volatility model for asset returns
AC Harvey, N Shephard
Journal of Business & Economic Statistics 14 (4), 429-434, 1996
6271996
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