Kevin Sheppard

University Lecturer in Financial Economics

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.


Working Paper

Noureldin D., Shephard N. and Sheppard K. (2012). Multivariate rotated ARCH models, Working Paper, Department of Economics, University of Oxford, Oxford.
Patton, A.J. and Sheppard, K. (2011). Good volatility, bad volatility: signed jumps and the persistence of volatility.
Engle, R., Shephard, N. and Sheppard, K. (2008). Fitting vast dimensional time-varying covariance models.
Collard, F., Mukerji, S., Sheppard, K. and Tallon, J.M. (2011). Ambiguity and the historical equity premium.
Sheppard, K. and Xu, W. (2013). Factor high-frequency based volatility (HEAVY) models.
Sheppard, K., Liu, L. and Patton, A.J. (2013). Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes.
Mykland, P.A., Shephard, N. and Sheppard, K. (2012). Efficient and feasible inference for the components of financial variation using blocked multipower variation.
Xu, W. and Sheppard, K. (2013). Factor high-frequency based volatility (HEAVY) models.
Sheppard, K. and Xu, W. (2014). Factor high-frequency based volatility (HEAVY) models.
Mykland, P., Shephard, N. and Sheppard , K. (2012). Efficient and feasible inference for the components of financial variation using blocked multipower variation.

Published Research

Sheppard, K. (2012). Forecasting High Dimensional Covariance Matrices. In: Bauwens, L. Hafner, C.M. and Laurent, S. Handbook of Volatility Models and Their Applications, Vol. 3. John Wiley & Sons. 103-126.
Pakel, C., Shephard, N. and Sheppard, K. (2011). Nuisance parameters, composite likelihoods and a panel of GARCH models. Statistica Sinica. 21 (1). 307-329.
Patton, A. and Sheppard, K. (2009). Evaluating volatility and correlation forecasts. In: Andersen, T.G., Davis, R.A., Kreiss, J.P. and Mikosch, T. Handbook of Financial Time Series. tbc: Springer Verlag. 801-838.
Patton, A. and Sheppard, K. (2009). Optimal cominations of realised volatility estimators. International Journal of Forecasting. 25 (2). 218-238.