Neil ShephardResearch Director, Oxford-Man InstituteProfessor of Economics, University of Oxford |
||||||||
|
||||||||
| Econometrics... |
| -- Volatility |
| -- High-frequency Data |
| -- Vast data |
| -- Particle filters |
| 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 papersSubmission 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 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) |
Links
- Economics Department, Oxford
- Oxford-Man Institute
- Nuffield College, Oxford
- Said Business School
- Statistics Department, Oxford
- Econometrics Seminar
- OMI Seminar
- Stochastic Analysis Seminar
- Statistics Seminar
- Oxford Practitioner Lectures in Finance
- Econometrics Links
- M.Phil. in Economics
- M.Sc. in Financial Economics (MFE)
- Econometric Society
- Society for Financial Econometrics
- OMI's realized library