Neil Shephard

Research Director, Oxford-Man Institute
Professor of Economics, University of Oxford
Contact Information
Office: Oxford-Man Institute
Phone: +44 1865 616600
Fax: +44 1865 616601
Email: neil.shephard@economics.ox.ac.uk
Research Interests:
Econometrics...
  -- Volatility
  -- High-frequency Data
  -- Vast data
  -- Particle filters
Affiliations and links:
Professor of Economics: Department of Economics, University of Oxford
Research Director: Oxford-Man Institute, University of Oxford
Professorial Fellow: Nuffield College, Oxford
Associate Editor: Econometrica
Fellow: Econometric Society
Fellow: British Academy
Advisory Board: CREATES, Aarhus University
Scientific Panel: Centre for Financial Econometrics, Singapore Management University
International Academic Panel: The International Centre for Financial Regulation
Member of Council: Society for Financial Econometrics

Submitted and forthcoming papers

Submission to the review on "Higher education funding and student finance".

Learning and filtering via simulation: smoothly jittered particle filters.

Deferred fees for universities, (forthcoming, Economic Affairs). This is a revised version of the earlier "Income contingent tuition fees for universities."

Nuisance parameters, composite likelihoods and a panel of GARCH models

Realising the future: forecasting with high frequency based volatility (HEAVY) models (forthcoming, Journal of Applied Econometrics)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models (forthcoming Econometric Theory)

Fitting vast dimensional time-varying covariance models

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Measuring downside risk: realised semivariance, (in "Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle", forthcoming)

Realised kernels in practice: trades and quotes (Econometrics Journal, forthcoming)

Subsampled realised kernels (Journal of Econometrics, forthcoming)

Modelling and measuring volatility (in Encyclopedia of Quantitative Finance, Wiley, forthcoming)