Neil Shephard

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Siddhartha ChibHarry C Hartkopf Professor of Econometrics and StatisticsVerified email at wustl.edu
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamVerified email at vu.nl
M PittKing's College LondonVerified email at kcl.ac.uk
Asger LundePartner, Copenhagen EconomicsVerified email at copenhageneconomics.com
Peter HansenHenry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & VisitingVerified email at unc.edu
Kevin SheppardUniversity Lecturer, University of OxfordVerified email at economics.ox.ac.uk
ESTHER RUIZ ORTEGAUniversidad Carlos III de MadridVerified email at est-econ.uc3m.es
anna vignolesUniversity of Cambridge and Institute of EducationVerified email at cam.ac.uk
Diaa NoureldinAssistant Professor of Economics, American University in CairoVerified email at aucegypt.edu
Robert EngleNew York UniversityVerified email at stern.nyu.edu
Anders RahbekProfessor, University of CopenhagenVerified email at econ.ku.dk
David F HendrySenior Research Fellow, Nuffield College, Oxford UniversityVerified email at nuffield.ox.ac.uk
Bent NielsenNuffield College & Department of Economics, Oxford & Programme on Economic Modelling, INET, OxfordVerified email at nuffield.ox.ac.uk
Mark PodolskijProfessor of Probability and Statistics, University of LuxembourgVerified email at uni.lu
Per MyklandRobert M. Hutchins Professor of Statistics and Finance, The University of ChicagoVerified email at pascal.uchicago.edu
Cavit PakelAssistant Professor of Economics, Bilkent UniversityVerified email at bilkent.edu.tr
Dacheng Xiu (修大成)University of Chicago Booth School of BusinessVerified email at chicagobooth.edu
Almut VeraartImperial College LondonVerified email at imperial.ac.uk
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityVerified email at northwestern.edu
Luke BornnCo-Founder and Chief Scientist, Zelus AnalyticsVerified email at stat.harvard.edu

Neil Shephard

Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University

Verified email at fas.harvard.edu - Homepage

Econometrics economics statistics financial econometrics finance


Title Sort by citations Sort by year Sort by 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	3284	1999
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	2923	1998
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	2508	2002
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	2370	2001
Power and bipower variation with stochastic volatility and jumps OE Barndorff-Nielsen, N Shephard Journal of financial econometrics 2 (1), 1-37, 2004	2214	2004
Multivariate stochastic variance models A Harvey, E Ruiz, N Shephard The Review of Economic Studies 61 (2), 247-264, 1994	1927	1994
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	1530	2006
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	1487	2008
Statistical aspects of ARCH and stochastic volatility N Shephard Time series models, 1-67, 2020	1246	2020
STAMP 6.0: Structural time series analyser, modeller and predictor SJ Koopman, AC Harvey, JA Doornik, N Shephard London: Timberlake Consultants, 2000	1020	2000
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	990	2004
Likelihood analysis of non-Gaussian measurement time series N Shephard, MK Pitt Biometrika 84 (3), 653-667, 1997	874	1997
Markov chain Monte Carlo methods for stochastic volatility models S Chib, F Nardari, N Shephard Journal of Econometrics 108 (2), 281-316, 2002	769	2002
Realized kernels in practice: Trades and quotes OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard The Econometrics Journal 12 (3), C1-C32, 2009	739	2009
Estimating quadratic variation using realized variance OE Barndorff‐Nielsen, N Shephard Journal of Applied econometrics 17 (5), 457-477, 2002	713	2002
The simulation smoother for time series models P De Jong, N Shephard Biometrika 82 (2), 339-350, 1995	704	1995
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	691	2011
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	669	1999
Stochastic volatility: selected readings N Shephard OUP Oxford, 2005	628	2005
Estimation of an asymmetric stochastic volatility model for asset returns AC Harvey, N Shephard Journal of Business & Economic Statistics 14 (4), 429-434, 1996	627	1996

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