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...

New papers or revisions: 2012

  • Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices (with Dacheng Xiu)
  • Efficient and feasible inference for the components of financial variation using blocked multipower variation (with Per Mykland and Kevin Sheppard)
  • Multivariate Rotated ARCH models (with Diaa Noureldin and Kevin Sheppard)
  • Integer-valued Levy processes and low latency financial econometrics (with Ole E. Barndroff-Nielsen and David G Pollard)