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Shephard, Neil


 SSRN Author Rank: 3,114 by Downloads
 Professor of Economics; Research Director, Oxford-Man Institute
 

University of Oxford - Oxford-Man Institute


 Eagle House
 Walton Well Road
 Oxford, Oxfordshire OX2 6ED
 United Kingdom
 44 1865 616600 (Phone)
 44 1865 616601 (Fax)
 HOME PAGE: http://www.oxford-man.ox.ac.uk
 email address
 Fellow and Professor of Economics
 

University of Oxford - Nuffield College


 New Road
 Oxford, OX1 1NF
 United Kingdom
 44 1865 278593 (Phone)
 44 1865 278500 (Fax)
 email address
 

University of Oxford - Oxford Financial Research Centre


 Oxford
 United Kingdom
 HOME PAGE: http://www.finance.ox.ac.uk
 email address

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. Shephard, Neil's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
6,947
Total
Citations
363
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
Lunde, Asger
CREATES
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
18 Nov 04
Last Revised:
06 Apr 08
1,256
(7,378)
92

2.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
Lunde, Asger
CREATES
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
02 Jul 08
Last Revised:
14 Jul 10
742
(16,771)
29

3.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
Lunde, Asger
CREATES
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
28 May 08
714
(17,739)
26

4.  
Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics | Show Abstract | Download |
Nuffield College Economics Working Paper No. 2005-W16
Working Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
05 Jul 05
597
(22,851)
30

5.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
03 Jun 02
459
(32,561)
69

6.  
Noureldin, Diaa
University of Oxford - Department of Economics
Shephard, Neil
University of Oxford - Oxford-Man Institute
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
19 Feb 12
Last Revised:
19 Nov 13
451
(33,392)
1

7.  
Rydberg, Tina Hviid
University of Oxford
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
04 Jun 99
448
(33,575)
7

8.  
Fitting Vast Dimensional Time-Varying Covariance Models | Show Abstract | Download |
NYU Working Paper No. FIN-08-009
Working Paper Series
Engle, Robert F.
Centre for International Finance and Regulation (CIFR)
Shephard, Neil
University of Oxford - Oxford-Man Institute
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
09 Mar 09
433
(35,098)
33

9.  
Measuring Downside Risk - Realised Semivariance | Show Abstract | Download |
CREATES Research Paper No. 2008-42
Working Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Kinnebrock, Silja
University of Oxford
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
03 Sep 08
344
(46,446)
6

10.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
Lunde, Asger
CREATES
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
30 Aug 06
336
(47,800)
11

11.   Incl. Electronic Paper
Shephard, Neil
University of Oxford - Oxford-Man Institute
Rydberg, Tina Hviid
University of Oxford
Posted:
30 May 02
Last Revised:
29 Jul 10
248
(67,649)
26

12.  
Engle, Robert F.
Centre for International Finance and Regulation (CIFR)
Shephard, Neil
University of Oxford - Oxford-Man Institute
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
03 Nov 08
214
(78,814)
29

13.  
Shephard, Neil
University of Oxford - Oxford-Man Institute
Xiu, Dacheng
University of Chicago - Booth School of Business
Posted:
26 Apr 12
Last Revised:
21 Apr 14
194
(87,448)
 

14.  
Rydberg, Tina Hviid
University of Oxford
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
23 Sep 99
173
(96,958)
1

15.  
Mykland, Per A.
University of Chicago - Department of Statistics
Shephard, Neil
University of Oxford - Oxford-Man Institute
Sheppard, Kevin
University of Oxford - Department of Economics
Posted:
21 Feb 12
167
(100,116)
1

16.  
Bos, Charles S.
VU University Amsterdam
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
08 Jun 04
111
(140,577)
4

17.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Lunde, Asger
CREATES
Shephard, Neil
University of Oxford - Oxford-Man Institute
Veraart, Almut
Imperial College London
Posted:
26 Feb 13
57
(210,698)
 

18.  
Deferred Fees for Universities | Show Abstract | Download |
Economic Affairs, Vol. 30, Issue 2, pp. 40-44, June 2010
Accepted Paper Series
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
08 Jun 10
2
(378,776)
 

19.  
The ACR Model: A Multivariate Dynamic Mixture Autoregression | Show Abstract | Download |
Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 5, pp. 583-618, October 2008
Accepted Paper Series
Bec, Frédérique
National Institute of Statistics and Economic Studies (INSEE)
Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
16 Sep 08
1
(387,432)
4

20.  
Saba, A.
affiliation not provided to SSRN
Vassallo, Marco
affiliation not provided to SSRN
Shephard, Neil
University of Oxford - Oxford-Man Institute
Lampila, Piritta
affiliation not provided to SSRN
Arvola, Anne
VTT Technical Research Centre of Finland
Dean, Moira
affiliation not provided to SSRN
Winkelmann, Markus
affiliation not provided to SSRN
Claupein, Erika
affiliation not provided to SSRN
Lähteenmäki, Liisa
University of Aarhus - Department of Marketing and Statistics
Posted:
21 Mar 10
Last Revised:
16 Jan 11
 

21.  
Realized Kernels in Practice: Trades and Quotes | Show Abstract |
Econometrics Journal, Vol. 21, 2009
Accepted Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Hansen, Peter Reinhard
European University Institute - Economics Department (ECO)
Lunde, Asger
CREATES
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
10 Mar 10
 

22.   Incl. Electronic Paper
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
04 Nov 03
Last Revised:
29 Jul 10
 

23.  
Multipower Variation and Stochastic Volatility | Show Abstract |
Nuffield College Economics Working Paper No. 2004-W30
Working Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
06 Dec 04
 

24.  
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales | Show Abstract |
Nuffield College Economics Working Paper No. 2004-W29
Working Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Graversen, Svend Erik
University of Aarhus - Department of Mathematical Sciences
Jacod, Jean
Université Paris VI Pierre et Marie Curie
Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
06 Dec 04
 

25.  
Stochastic Volatility with Leverage: Fast Likelihood Inference | Show Abstract |
Nuffield College, Oxford Economics Working Paper No. 2004-W19
Working Paper Series
Omori, Yasuhiro
University of Tokyo
Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School
Shephard, Neil
University of Oxford - Oxford-Man Institute
Nakajima, Jouchi
University of Tokyo
Posted:
07 Sep 04
 

26.  
A Feasible Central Limit Theory for Realised Volatility Under Leverage | Show Abstract |
Nuffield College Economics Working Paper No. 2004-W3
Working Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
03 Feb 04
 

27.   Incl. Electronic Paper
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
25 Jun 03
Last Revised:
29 Jul 10
 

28.  
Power Variation & Stochastic Volatility: A Review and Some New Results | Show Abstract |
Nuffield College, Oxford, Economics Working Paper No. 2003-W19
Working Paper Series
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Graversen, Svend Erik
University of Aarhus - Department of Mathematical Sciences
Posted:
28 May 03
 

29.  
Fiorentini, Gabriele
Universita di Firenze - Dipartimento di Statistica
Sentana, Enrique
Centro de Estudios Monetarios y Financieros (CEMFI)
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
22 Nov 02
 

30.  
Testing the Assumptions Behind the use of Importance Sampling | Show Abstract |
Nuffield College, Oxford, Economics Working Paper No. 2002-W17
Working Paper Series
Koopman, Siem Jan
VU University Amsterdam
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
13 Aug 02
 

31.  
Autoregressive conditional root model | Show Abstract |
Nuffield College, Economics Working Paper No. 2002-W7
Working Paper Series
Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
19 Mar 02
 

32.  
Realised Power Variation and Stochastic Volatility Models | Show Abstract |
Nuffield College, Economics Working Paper No. 2001-W18
Working Paper Series
Shephard, Neil
University of Oxford - Oxford-Man Institute
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Posted:
31 Aug 01
 

33.  
Integrated OU Processes | Show Abstract |
Nuffield College, Oxford, Economics WP No 2001-W1
Working Paper Series
Shephard, Neil
University of Oxford - Oxford-Man Institute
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Posted:
17 Jan 01
 

34.  
Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School
Shephard, Neil
University of Oxford - Oxford-Man Institute
Nardari, Federico
University of Houston - Department of Finance
Posted:
28 Dec 00
 

35.  
Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
03 Dec 00
 

36.  
Analysis of High Dimensional Multivariate Stochastic Volatility Models | Show Abstract |
Washington University, Olin Working Paper No. 98-11
Working Paper Series
Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School
Nardari, Federico
University of Houston - Department of Finance
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
18 Aug 99
 

37.  
Simulation-Based Likelihood Inference for Limited Dependent Processes | Show Abstract |
The Econometrics Journal, Vol. 1, 1998
Accepted Paper Series
Manrique, Aurora
University of Salamanca
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
22 Jul 99
 

38.  
Likelihood Analysis of a First Order Autoregressive Model with Exponential Innovations | Show Abstract |
Nuffield College, University of Oxford Working Paper No. 1999-w8
Working Paper Series
Nielsen, Bent
University of Oxford - Department of Economics
Shephard, Neil
University of Oxford - Oxford-Man Institute
Posted:
08 Apr 99
 

39.  
Kim, Sangjoon
affiliation not provided to SSRN
Shephard, Neil
University of Oxford - Oxford-Man Institute
Chib, Siddhartha
Washington University in Saint Louis - John M. Olin Business School
Posted:
15 Oct 96
 


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