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Neil Shephard

Harvard University

69H-index
272Paper Count
2.6WCitation Count
Published Papers 27
Publication Date
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Ole Eiler Barndorff-Nielsen and financial econometrics
errBernoulli
IF1.7
err2026-02-01
err0
PREAI
errShephard, Neil
errShare
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Inference and forecasting for continuous-time integer-valued trawl processes
errJOURNAL OF ECONOMETRICS
IF4
err2023-10-01
err2
errOAAI
errBennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D.
errShare
errSave
Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2019-03-18
err34
errOAAI
errBojinov, Iavor; Shephard, Neil
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errSave
Moment conditions and Bayesian non-parametrics
errJOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
IF3.6
err2018-10-23
err11
errOAAI
errBornn, Luke; Shephard, Neil; Solgi, Reza
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Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
errJOURNAL OF ECONOMETRICS
IF4
err2017-11-01
err22
PREAI
errShephard, Neil; Xiu, Dacheng
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Continuous Time Analysis of Fleeting Discrete Price Moves
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2017-10-30
err11
errOAAI
errShephard, Neil; Yang, Justin J.
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errSave
Multivariate rotated ARCH models
errJOURNAL OF ECONOMETRICS
IF4
err2014-03-01
err36
errOAAI
errNoureldin, Diaa; Shephard, Neil; Sheppard, Kevin
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errSave
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
errJOURNAL OF ECONOMETRICS
IF4
err2011-06-01
err323
errOAAI
errBarndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
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Subsampling realised kernels
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err48
errOAAI
errBarndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
errShare
errSave
Realized Volatility
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err13
PREAI
errMeddahi, Nour; Mykland, Per; Shephard, Neil
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errSave
Realized kernels in practice: trades and quotes
errECONOMETRICS JOURNAL
IF7
err2009-11-24
err382
errOAAI
errBarndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.
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errSave
Testing the assumptions behind importance sampling
errJOURNAL OF ECONOMETRICS
IF4
err2009-04-01
err50
errOAAI
errKoopman, Siem Jan; Shephard, Neil; Creal, Drew
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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
errECONOMETRICA
IF7.1
err2008-01-01
err826
PREAI
errBarndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil
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errSave
Stochastic volatility with leverage: Fast and efficient likelihood inference
errJOURNAL OF ECONOMETRICS
IF4
err2007-10-01
err282
errOAAI
errOmori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi
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errSave
Analysis of high dimensional multivariate stochastic volatility models
errJOURNAL OF ECONOMETRICS
IF4
err2006-10-01
err169
PREAI
errChib, Siddhartha; Nardari, Federico; Shephard, Neil
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
errJOURNAL OF ECONOMETRICS
IF4
err2006-03-01
err49
errOAAI
errBarndorff-Nielsen, OE; Shephard, N
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errSave
Likelihood-based estimation of latent generalized arch structures
errECONOMETRICA
IF7.1
err2004-09-01
err52
PREAI
errFiorentini, G; Sentana, E; Shephard, N
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errSave
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics
errECONOMETRICA
IF7.1
err2004-05-01
err534
PREAI
errBarndorff-Nielsen, OE; Shephard, N
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errSave
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
errJOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
IF3.6
err2002-06-20
err1.3K
errOAAI
errBarndorff-Nielsen, OE; Shephard, N
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errSave
Markov chain Monte Carlo methods for stochastic volatility models
errJOURNAL OF ECONOMETRICS
IF4
err2002-06-01
err343
PREAI
errChib, S; Nardari, F; Shephard, N
errShare
errSave

Research Directions

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Co-authors
Cooperation Journals
O
Ole E. Barndorff–Nielsen
H-index: 78 · Papers: 465
A
Andrew Harvey
H-index: 70 · Papers: 327
S
Siem Jan Koopman
H-index: 60 · Papers: 477
A
Anthony C. Atkinson
H-index: 53 · Papers: 418
M
M. Pitt
H-index: 48 · Papers: 458
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