Neil Shephard

Professor of Economics, University of Oxford
Professorial Fellow in Economics, Nuffield College, Oxford
Member, Oxford-Man Institute, University of Oxford
Main contact Information
Office: Oxford-Man Institute
Phone: +44 1865 616600
Email: neil.shephard@economics.ox.ac.uk
From October 2012
Office: Nuffield College, Oxford
Phone: +44 1865 278500
Research Interests:
Theoretical and applied econometrics...

    Neil Shephard's most cited papers according to Google Scholar in December 2011: in order...

    Filtering via simulation: auxiliary particle filters, JASA, 1999. Google cites: 1,311.

    Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics, JRSSB, 2001. Google cites: 1,009.

    Stochastic volatility: likelihood inference and comparison with ARCH models, 1998, Review of Economic Studies. Google cites: 1,059.

    Econometric analysis of realized volatility and its use in estimating stochastic volatility models, 2002, JRSSB. Google cites: 927.

    Multivariate stochastic variance models, 1994, Review of Economic Studies. Google cites: 945.

    Statistical aspects of ARCH and stochastic volatility, book collection, 1996. Google cites: 724.

    Power and bipower variation with stochastic volatility and jumps, 2004, Journal of Financial Econometrics. Google cites: 574.

    Likelihood analysis of non-Gaussian measurement time series, 1997, Biometrika. Google cites: 449.

    Econometrics of testing for jumps in financial economics usin biwpower variation, 2006, Journal of Financial Econometrics. Google cites: 413.

    Statistical algorithms for models in state space using SsfPack 2.2, 1999, Econometrics Journal. Google cites: 420.

    Likelihood inference for discretely observed nonlinear diffusions, 2001, Econometrica. Google cites: 368.

    Partial non-Gaussian state space models, 1994, Biometrika. Google cites: 337.

    The simulation smoother for time-series models, 1995, Biometrika. Google cites: 373.

    Designing realized kernels to measure the ex post variation of equity prices in the presence of noise, 2008, Econometrica. Google cites: 363.

    Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics, 2004, Econometrica. Google cites: 337.