Neil Shephard (born October 8, 1964), FBA, is a British economist, currently Professor of Economics at the University of Oxford and Research Director of the Oxford-Man Institute of Quantitative Finance. Before you can upload images you will need to register an account Only use this if you hold the copyright on the image. ... Doctor of Philosophy (Ph. ... LSE is an initialism for: London School of Economics and Political Science London Stock Exchange This page concerning a three-letter acronym or abbreviation is a disambiguation page—a list of articles associated with the same title. ... The British Academy is the United Kingdoms national academy for the humanities and the social sciences. ... The Oxford-Man Institute of Quantitative Finance is an interdisciplinary research institute of the University of Oxford. ...

His work is predominantly on time series econometrics and financial econometrics. In recent years he has worked on the theory of the measurement of the variability of asset prices. He was an undergraduate at York University and did his M.Sc. and Ph.D. (awarded in 1990) at the LSE where he was on the faculty from 1988 to 1993. He moved to Oxford in 1991, originally as the Gatsby Research Fellow in Econometrics. He became an Official Fellow in Economics in 1993, a position he held until 2006. He was Director of the Oxford Financial Research Centre from 2006-2007.

He was elected a Fellow of the British Academy in 2006, a Fellow of the Econometric Society in 2004. He is a Professorial Fellow at Nuffield College, Oxford. The British Academy is the United Kingdoms national academy for the humanities and the social sciences. ... The Econometric Society The Econometric Society, an International Society for the Advancement of Economic Theory in its Relation with Statistics and Mathematics was founded on December 29, 1930 at the Stalton Hotel in Cleveland, Ohio. ... College name Nuffield College Named after Lord Nuffield Established 1937 Sister College None Warden Stephen Nickell Undergraduates None Graduates 74 Homepage Nuffield College is one of the constituent colleges of the University of Oxford in England. ...

Publications

Influential articles

• Ole E. Barndorff-Nielsen and Neil Shephard (2006) Econometrics of testing for jumps in financial economics using bipower variation, Journal of Financial Econometrics, 4, 1-30.

• G. Fiorentini, Enrique Sentana and Neil Shephard (2004) Likelihood-based estimation of latent generalised ARCH structures, Econometrica, 2004, 72, 1481-1517.

• Ole E. Barndorff-Nielsen and Neil Shephard (2004) Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics, Econometrica, 72, 885-925.

• Ole E. Barndorff-Nielsen and Neil Shephard (2004) Power and bipower variation with stochastic volatility and jumps (with discussion) Journal of Financial Econometrics, 2004, 2, 1-48.

• Ole E. Barndorff-Nielsen and Neil Shephard (2002) Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B, 63, 2002, 253-280.

• Ola Elerian, Siddhartha Chib and Neil Shephard (2001) Likelihood inference for discretely observed non-linear diffusions, Econometrica, 69, 2001, 959--993.

• Ole E. Barndorff-Nielsen and Neil Shephard (2001) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics, (with discussion), Journal of the Royal Statistical Society, Series B, 63, 2001, 167--241.

• Michael K. Pitt and Neil Shephard (1999) Filtering via simulation: auxiliary particle filter, Journal of the American Statistical Association, 94, 1999, 590-9.

• Sangjoon Kim, Siddhartha Chib and Neil Shephard (1998) Stochastic volatility: likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 1998, 361-93.

• Andrew C. Harvey, Esther Ruiz and Neil Shephard (1994) Multivariate stochastic variance models, Review of Economic Studies 61, 1994, 247-64.

Edited Volumes

• Neil Shephard (2005) Stochastic Volatility: Selected Readings, edited volume, Oxford University Press.

• Andrew C. Harvey, Siem Jan Koopman and Neil Shephard (2004) State Space and Unobserved Component Models: Theory and Applications, edited volume, Cambridge University Press.