Kevin Sheppard is a University Lecturer in the Department of Economics. His research interests focus on financial econometrics. He has carried out work on estimating large dimensional time-varying covariance matrices and has recently focused on the use of high frequency data to more precisely estimate dependence amongst asset returns.
Kevin was an undergraduate at the University of Texas at Austin and did his PhD at the University of California, San Diego.
Noureldin D., Shephard N. and Sheppard K. (2012) Multivariate Rotated ARCH Models, Working Paper, Department of Economics, University of Oxford, Oxford.
Mykland P., Shephard, N. and Sheppard K. (2012) Efficient and feasible inference for the components of financial variation using blocked multipower variation, Working Paper, Department of Economics, University of Oxford.
Pakel, C., Shephard N. and Sheppard K. (2011) Nuisance parameters, composite likelihoods and a panel of GARCH models. Statistica Sinica, 21 (1) 307-329.