Neil Shephard

Q: What Schools Are Affiliated With Neil Shephard

Neil Shephard is affiliated with the following schools: Harvard University, Simon Fraser University, London School of Economics, University of York, University of Oxford

Neil Shephard's AcademicInfluence.com Rankings

Neil Shephard

Economics

#666

World Rank

#806

Historical Rank

Econometrics

#25

World Rank

#26

Historical Rank

economics Degrees

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Economics

Why Is Neil Shephard Influential?

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According to Wikipedia, Neil Shephard , FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University. His most well known contributions are: the formalisation of the econometrics of realised volatility, which nonparametrically estimates the volatility of asset prices, the introduction of the auxiliary particle filter , the nonparametric identification of jumps in financial economics, through multipower variation, stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes, known as 'Barndorff-Nielsen-Shephard' models.

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Neil Shephard's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Filtering via Simulation: Auxiliary Particle Filters (1999) (2681)
Stochastic Volatility: Likelihood Inference And Comparison With Arch Models (1996) (2352)
Econometric analysis of realized volatility and its use in estimating stochastic volatility models (2002) (2009)
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics (2001) (1958)
Power and bipower variation with stochastic volatility and jumps (2003) (1871)
Multivariate stochastic variance models (1994) (1397)
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008) (1287)
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005) (1250)
Statistical aspects of ARCH and stochastic volatility (1996) (900)
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004) (828)
Likelihood analysis of non-Gaussian measurement time series (1997) (734)
Estimating quadratic variation using realized variance (2002) (589)
The simulation smoother for time series models (1995) (589)
Realized Kernels in Practice: Trades and Quotes (2009) (569)
Markov chain Monte Carlo methods for stochastic volatility models (2002) (562)
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010) (557)
Statistical algorithms for models in state space using SsfPack 2.2 (1999) (544)
Likelihood INference for Discretely Observed Non-linear Diffusions (2001) (532)
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns (1996) (487)
Econometric analysis of realised volatility and its use in estimating stochastic volatility models (2000) (425)
Realising the future: forecasting with high frequency based volatility (HEAVY) models (2010) (415)
Stochastic volatility with leverage: Fast and efficient likelihood inference (2007) (404)
Partial non-Gaussian state space (1994) (385)
Measuring Downside Risk - Realised Semivariance (2008) (336)
Analysis of high dimensional multivariate stochastic volatility models (2006) (330)
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004) (284)
Modelling by L´ evy Processes for Financial Econometrics (2000) (250)
Stochastic Volatility: Selected Readings (2005) (222)
Limit theorems for multipower variation in the presence of jumps (2006) (215)
Multivariate High-Frequency-Based Volatility (HEAVY) Models (2012) (209)
Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics (2005) (207)
Structural Time Series Analyser, Modeller and Predictor: STAMP 8.2. (2009) (207)
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS (2011) (192)
Realised power variation and stochastic volatility models (2003) (189)
Non-Gaussian OU based models and some of their uses in financial economics (2000) (181)
Normal Modified Stable Processes (2001) (181)
Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion (1998) (178)
The Methodology and Practice of Econometrics (2009) (170)
Stochastic Volatility with Leverage: Fast Likelihood Inference (2004) (154)
From Characteristic Function to Distribution Function: A Simple Framework for the Theory (1991) (154)
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background (2016) (145)
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (2005) (145)
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models (1999) (143)
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (2003) (141)
Modelling by Lévy Processess for Financial Econometrics (2001) (140)
Some recent developments in stochastic volatility modelling (2002) (133)
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics (2002) (123)
Realized power variation and stochastic volatility models (2003) (117)
Fitting Vast Dimensional Time-Varying Covariance Models (2017) (114)
Likelihood-based estimation of latent generalised ARCH structures (2004) (113)
Auxiliary Variable Based Particle Filters (2001) (107)
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL (1990) (107)
Stochastic Volatility: Origins and Overview (2008) (106)
Testing the assumptions behind importance sampling (2009) (105)
Subsampling Realised Kernels (2007) (102)
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2006) (99)
Exact score for time series models in state space form (1992) (99)
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004) (99)
Realised Kernels in Practice: Trades and Quotes (2008) (93)
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models (1993) (92)
Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading (2017) (91)
Local scale models: State space alternative to integrated GARCH processes (1994) (86)
DISCUSSION ON THE MEETING ON THE GIBBS SAMPLER AND OTHER MARKOV CHAIN-MONTE CARLO METHODS (1993) (82)
10 Structural time series models (1993) (80)
The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry (2009) (80)
How accurate is the asymptotic approximation to the distribution of realised variance (2001) (78)
Integer-valued Lévy processes and low latency financial econometrics (2012) (77)
Statistical algorithms for models in state space form: SsfPack 3.0 (2008) (73)
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice (2016) (71)
Disentangling the Channels of the 2007-2009 Recession April 27 (2012) (68)
Advances in Economics and Econometrics: Variation, Jumps, and High-Frequency Data in Financial Econometrics (2007) (68)
State Space and Unobserved Component Models: Theory and Applications (2004) (67)
A Modelling Framework for the Prices and Times of Trades Made on the New York Stock Exchange (1999) (66)
Generalized linear autoregressions (1995) (61)
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models (1999) (58)
Power Variation and Time Change (2006) (55)
Aggregation and model construction for volatility models (1998) (54)
Fitting and Testing Vast Dimensional Time-Varying Covariance Models (2007) (54)
Likelihood based inference for diffusion driven models (2004) (53)
Multivariate Rotated ARCH Models (2013) (52)
Detecting shocks: Outliers and breaks in time series (1997) (51)
Power variation and stochastic volatility: a review and some new results (2004) (50)
Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading (2016) (48)
Estimation and Testing of Stochastic Variance Models (1993) (48)
Likelihood analysis of a first‐order autoregressive model with exponential innovations (1999) (47)
Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models (2000) (46)
Estimating quadratic variation using realised volatility (2001) (46)
The ACR Model: A Multivariate Dynamic Mixture Autoregression (2008) (46)
Econometric Analysis of Realised Volatility and Its Use in Estimating Levy Based Non-Gaussian OU Type Stochastic Volatility Models (2000) (45)
State Space and Unobserved Component Models (2006) (44)
Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components (1993) (43)
BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time (2000) (43)
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form (2004) (42)
Stochastic volatility models (2010) (38)
Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (2013) (35)
Nuisance parameters, composite likelihoods and a panel of GARCH models (2009) (34)
Multipower Variation and Stochastic Volatility (2004) (28)
Distribution of the ML Estimator of an MA(1) and a local level model (1993) (28)
Panel experiments and dynamic causal effects: A finite population perspective (2020) (27)
Simulation�?Based Likelihood Inference for Limited Dependent Processes (1998) (26)
A semiparametric stochastic volatility model (2012) (25)
Likelihood Analysis of Non-Gaussian Parameter-Driven Models (1995) (25)
Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation (2012) (25)
Martingale unobserved component models (2013) (24)
Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession (2015) (24)
Basics of Levy processes (2012) (22)
Learning and filtering via simulation: smoothly jittered particle filters (2009) (22)
Parallel computation in econometrics: a simplified approach (2004) (22)
Numerical integration rules for multivariate inversions (1991) (21)
Testing the Assumptions Behind the use of Importance Sampling (2002) (20)
A feasible central limit theory for realised volatility under leverage (2004) (20)
Computationally intensive econometrics using a distributed matrix-programming language (2002) (20)
Moment conditions and Bayesian non‐parametrics (2015) (20)
Continuous Time Analysis of Fleeting Discrete Price Moves (2014) (20)
Estimation of an asymmetric model of asset prices (1996) (19)
Incorporation of a Leverage Effect in a Stochastic Volatility Model (1998) (17)
Measuring and forecasting financial variability using realised variance with and without a model (2002) (17)
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates (2019) (17)
Robust inference on parameters via particle filters and sandwich covariance matrices (2012) (16)
INFERENCE AND ERGODICITY IN THE AUTOREGRESSIVE CONDITIONAL ROOT MODEL (2002) (16)
Likelihood-based estimation of latent generalised ARCH (2003) (16)
Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function (2019) (15)
Unobserved Components and Time Series Econometrics (2015) (15)
Autoregressive conditional root model (2002) (15)
Integrated OU Processes (2001) (15)
A comparison of sample survey measures of earnings of English graduates with administrative data (2019) (14)
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices (2012) (14)
Modelling Trade-by-Trade Price Movements of Multiple Assets Using Multivariate Compound Poisson Processes (1999) (14)
Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes" (2001) (12)
Power variation & stochastic volatility: a review and some new results (2003) (11)
A nonparametric Bayesian approach to copula estimation (2017) (11)
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. (2002) (10)
Discrete-valued Levy processes and low latency financial econometrics (2010) (10)
The Econometrics Journal of the Royal Economic Society (1998) (10)
Tests for cycles (2004) (10)
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality (2013) (9)
Submission to the review on "Higher Education Funding and Student Finance" (2010) (8)
Inference and forecasting for continuous-time integer-valued trawl processes (2021) (8)
Empirical Bayesian inference in a nonparametric regression model (2005) (8)
Locally weighted Markov chain Monte Carlo (2015) (7)
Deletion diagnostics for transformations of time series (1996) (7)
Likelihood Inference for Exponential-Trawl Processes (2015) (7)
Towards setting student numbers free (2010) (6)
State Space and Unobserved Component Models: Measuring and forecasting financial variability using realised variance (2004) (6)
Deferred Fees for Universities (2010) (5)
Bayesian Analysis of Stochastic Volatility Models: Comment (1994) (5)
When do common time series estimands have nonparametric causal meaning?* (2021) (5)
A Nonparametric Dynamic Causal Model for Macroeconometrics (2019) (5)
Frequency domain and wavelet-based estimation for long-memory signal plus noise models (2004) (5)
SsfPack 2 . 0 : Statistical algorithms for models in state space An Ox link to underlying C code (1998) (4)
The actual financing costs of English higher education student loans (2013) (4)
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average models (1997) (4)
Inference for Adaptive Time Series Models (2004) (3)
The Autoregressive Conditional Root (ACR) Model (2005) (3)
Tabulation of Farebrother's Test for Linear Restrictions (1992) (3)
Volatility Scaling's Impact on the Sharpe Ratio (2018) (3)
Where is the money going? Estimating government spending on different university degrees (2019) (3)
Likelihood based inference for observed and partially observed diffusions (2003) (3)
ANTITHETIC VARIABLES FOR MCMC METHODS APPLIED TO NON-GAUSSIAN STATE SPACE MODELS (2007) (2)
Are there discontinuities in financial prices (2005) (2)
Creative arts degrees cost taxpayers 30% more than engineering degrees (2019) (2)
Higher order variation and stochastic volatility models (2001) (2)
International Statistical Institute ( ISI ) and Bernoulli Society for Mathematical Statistics and Probability Realized Power Variation and Stochastic Volatility Models (2008) (2)
What and where you study matter for graduate earnings – but so does parents’ income (2016) (2)
Diagnostic tests for volatility models (2008) (2)
An estimator for predictive regression: reliable inference for financial economics (2020) (2)
Income contingent tuition fees for universities (2009) (1)
Time Series Experiments and Causal Estimands (2019) (1)
Nonparametric hierarchical Bayesian quantiles (2016) (1)
State Space and Unobserved Component Models: Empirical Bayesian inference in a nonparametric regression model (2004) (1)
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) (2004) (1)
Econometrics of valuing income contingent student loans using administrative data: groups of English students (2019) (1)
A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) (1990) (1)
Outliers and Switches in Time Series (1994) (1)
Speciication Tests in the Eecient Method of Moments Framework with Application to the Stochastic Volatility Models (1998) (1)
Essays in panel data and financial econometrics (2012) (0)
Locally weighted Markov chain Monte (2018) (0)
Modelling and measuring volatility (2008) (0)
Deletion Diagnostics and Transformations for Time Series (1992) (0)
Part I State space models (2004) (0)
Essays on forecast evaluation and financial econometrics (2013) (0)
The Review of Economic Studies Ltd. (2011) (0)
Web Appendix to Multivariate High-Frequency-Based Volatility (HEAVY) Models (2011) (0)
CAHIER 29-2001 (2002) (0)
Exact distribution theory for the maximum likelihood estimators of local trend models (1989) (0)
State Space and Unobserved Component Models: Preface (2004) (0)
State structure, decision making and related issues (2004) (0)
Where is the money going? Estimating the government cost ofdifferent university degrees : IFS Briefing Note BN244 (2019) (0)
State Space and Unobserved Component Models: References (2004) (0)
DISCUSSION PAPER SERIES FITTING VAST DIMENSIONAL TIME-VARYING COVARIANCE MODELS (2008) (0)
Expected Value Optimisation and Minimax for Robust Decisions. B. Rustem Dynare: a Simulation Platform for Non-linear Rational Expectation Models. Preconditioning Indefinite Systems in Interior Point Methods for Optimization. J. Gondzio on Improving the Von Neumann Algorithm for Linear Programming. U (0)
Empirical Appendix - Results for 2004 (2006) (0)
Comment (2006) (0)
Graduate ‘premium’ more significant for women (2015) (0)
Panel-Based Experiments and Dynamic Causal Effects: A Finite Population Perspective Online Appendix (2021) (0)
Estimation of integer-valued trawl processes (2021) (0)
The ACRModel : AMultivariate Dynamic Mixture Autoregression Å (2008) (0)
Ecient econometric inference based on estimated likelihoods (2008) (0)
STAMP 6.0 for Give Win (1999) (0)
[EPUB] Efficient And Adaptive Estimation For Semiparametric Models (2021) (0)
Multivariate Stoc astic Variance Models (2007) (0)
An Ox link to underlying C code (1998) (0)

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Other Resources About Neil Shephard

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What Schools Are Affiliated With Neil Shephard?

Neil Shephard is affiliated with the following schools:

Neil Shephard's Academic­Influence.com Rankings