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Neil G. Shephard
Ph.D.
Alternative spellings: Neil Shephard N. Shephard N. G. Shephard
B:1964 Biblio: Oxford-Man Inst., Univ. of Oxford, UK ; London School of Economic, UK ; Nuffield College, Univ. Oxford, UK
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Neil Shephard (born 8 October 1964), 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: (i) the formalisation of the econometrics of realised volatility, which nonparametrically estimates the volatility of asset prices, (ii) the introduction of the auxiliary particle filter (signal extraction), (iii) the nonparametric identification of jumps in financial economics, through multipower variation, (iv) stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes, known as 'Barndorff-Nielsen-Shephard' models. (Source: DBPedia)
Q201376
Publishing years
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2023
3
2021
1
2020
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2019
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2017
2
2016
2
2015
1
2014
3
2013
12
2012
4
2011
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2010
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2009
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2008
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2007
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2006
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2005
23
2004
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2003
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2002
4
2001
3
2000
2
1999
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1998
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1997
3
1996
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1994
3
1993
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1992
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1991
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1990
Series
Economics discussion papers (35)
Department of Economics discussion paper series / University of Oxford (20)
Oxford Financial Research Centre economics series (12)
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business (9)
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines (4)
IFS working paper (3)
Department of Economics discussion paper series (2)
Discussion paper series / LSE Financial Markets Group (2)
Mathematical finance (2)
CREATES research paper (2)
Discussion paper / Tinbergen Institute (2)
Working papers / Harvard Business School, Division of Research (1)
Documento de trabajo / Centro de Estudios Monetarios y Financieros (1)
Working papers / Serie AD / Instituto Valenciano de Investigaciones Económicas (1)
Advanced texts in econometrics (1)
Série des documents de travail / Centre de Recherche en Économie et Statistique (1)
Global COE Hi-Stat discussion paper series (1)
Discussion paper / Center for Economic Research, Tilburg University (1)
The result list below will be reduced to the selected search terms. The terms are generated from the titles, abstracts and STW thesaurus of publications by the respective author.
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