Neil Shephard - Publications, H-index & Citations

Neil Shephard

Harvard University

69H指数

272论文数

2.6W被引数

收录论文 27

发表时间

Ole Eiler Barndorff-Nielsen and financial econometrics Ole Eiler Barndorff-Nielsen与金融计量经济学

Bernoulli

IF1.7

2026-02-01

PREAI

Shephard, Neil

Inference and forecasting for continuous-time integer-valued trawl processes

JOURNAL OF ECONOMETRICS

IF4

2023-10-01

OAAI

Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D.

Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

IF3

2019-03-18

OAAI

Bojinov, Iavor; Shephard, Neil

Moment conditions and Bayesian non-parametrics

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2018-10-23

OAAI

Bornn, Luke; Shephard, Neil; Solgi, Reza

Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading

JOURNAL OF ECONOMETRICS

IF4

2017-11-01

PREAI

Shephard, Neil; Xiu, Dacheng

Continuous Time Analysis of Fleeting Discrete Price Moves

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

IF3

2017-10-30

OAAI

Shephard, Neil; Yang, Justin J.

Multivariate rotated ARCH models

JOURNAL OF ECONOMETRICS

IF4

2014-03-01

OAAI

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

JOURNAL OF ECONOMETRICS

IF4

2011-06-01

323

OAAI

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil

Subsampling realised kernels

JOURNAL OF ECONOMETRICS

IF4

2011-01-01

OAAI

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil

Realized Volatility

JOURNAL OF ECONOMETRICS

IF4

2011-01-01

PREAI

Meddahi, Nour; Mykland, Per; Shephard, Neil

Realized kernels in practice: trades and quotes

ECONOMETRICS JOURNAL

IF7

2009-11-24

382

OAAI

Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N.

Testing the assumptions behind importance sampling

JOURNAL OF ECONOMETRICS

IF4

2009-04-01

OAAI

Koopman, Siem Jan; Shephard, Neil; Creal, Drew

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

ECONOMETRICA

IF7.1

2008-01-01

826

PREAI

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil

Stochastic volatility with leverage: Fast and efficient likelihood inference 带杠杆的随机波动率: 快速有效的似然推断

JOURNAL OF ECONOMETRICS

IF4

2007-10-01

282

OAAI

Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi

Analysis of high dimensional multivariate stochastic volatility models

JOURNAL OF ECONOMETRICS

IF4

2006-10-01

169

PREAI

Chib, Siddhartha; Nardari, Federico; Shephard, Neil

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes

JOURNAL OF ECONOMETRICS

IF4

2006-03-01

OAAI

Barndorff-Nielsen, OE; Shephard, N

Likelihood-based estimation of latent generalized arch structures 潜在广义拱结构的似然估计

ECONOMETRICA

IF7.1

2004-09-01

PREAI

Fiorentini, G; Sentana, E; Shephard, N

Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics

ECONOMETRICA

IF7.1

2004-05-01

534

PREAI

Barndorff-Nielsen, OE; Shephard, N

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2002-06-20

1.3K

OAAI

Barndorff-Nielsen, OE; Shephard, N

Markov chain Monte Carlo methods for stochastic volatility models 随机波动率模型的马尔可夫链蒙特卡罗方法

JOURNAL OF ECONOMETRICS

IF4

2002-06-01

343

PREAI

Chib, S; Nardari, F; Shephard, N

研究方向