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.

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.

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 , (2013). Factor High-Frequency Based Volatility (HEAVY) Models.

Published Research

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). 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, Springer Verlag, 801-838.. In: Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T., Handbook of Financial Time Series, Springer Verlag, 801-838..
Patton, A. and Sheppard, K. (2009). Patton, A. and Sheppard, K. (2009) Optimal combinations of realised volatility estimators. International Journal of Forecasting. 25 (2), 218-238. . International Journal of Forecasting. 25 (2), 218-238..
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.