Neil Shephard

Harvard University

Professor

1875 Cambridge Street

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

40

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CITATIONS
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343

Scholarly Papers (40)

1.

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Number of pages: 46 Posted: 18 Nov 2004 Last Revised: 06 Apr 2008
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and Harvard University
Downloads 1,297 (10,352)
Citation 91

Abstract:

Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling

Fitting Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-08-009
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 16 Sep 2017
Bilkent University - Department of Economics, Harvard University, University of Oxford - Department of Economics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 606 (35,037)
Citation 31

Abstract:

Fitting and Testing Vast Dimensional Time-Varying Covariance Models

NYU Working Paper No. FIN-07-046
Number of pages: 28 Posted: 03 Nov 2008
Robert F. Engle, Neil Shephard and Kevin Sheppard
New York University - Leonard N. Stern School of Business - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 301 (82,852)
Citation 28

Abstract:

3.

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Number of pages: 53 Posted: 02 Jul 2008 Last Revised: 14 Jul 2010
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and Harvard University
Downloads 777 (22,160)
Citation 32

Abstract:

HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance

4.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and Harvard University
Downloads 749 (23,938)
Citation 25

Abstract:

HAC estimator, Long run variance estimator, Market frictions, Quadratic variation

5.

Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics

Nuffield College Economics Working Paper No. 2005-W16
Number of pages: 55 Posted: 05 Jul 2005
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University
Downloads 633 (26,221)
Citation 31

Abstract:

6.

Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Diaa Noureldin, Neil Shephard and Kevin Sheppard
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 568 (23,938)
Citation 2

Abstract:

RARCH; RBEKK; RDCC; multivariate volatility; covariance targeting; common persistence

7.

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

Nuffield College, Oxford, Working Paper No. 2002-W13
Number of pages: 42 Posted: 03 Jun 2002
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University
Downloads 466 (47,682)
Citation 67

Abstract:

Power variation, Realised correlation, Realised covolatility, Realised regression, Realised variance, Semimartingales, Covolatility.

8.

A Modelling Framework for the Prices and Times of Trades Made on the New York Stock Exchange

Nuffield College Working Paper W99-14
Number of pages: 32 Posted: 04 Jun 1999
Tina Hviid Rydberg and Neil Shephard
University of Oxford and Harvard University
Downloads 459 (46,446)
Citation 7

Abstract:

9.

Measuring Downside Risk - Realised Semivariance

CREATES Research Paper No. 2008-42
Number of pages: 24 Posted: 03 Sep 2008
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oxford and Harvard University
Downloads 395 (42,905)
Citation 6

Abstract:

Market frictions, Quadratic variation, Realised variance, Semimartingale, Semivariance

10.

Subsampling Realised Kernels

Number of pages: 30 Posted: 30 Aug 2006
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and Harvard University
Downloads 344 (68,626)
Citation 12

Abstract:

Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling

Dynamics of Trade-By-Trade Price Movements: Decomposition and Models

Nuffield College Economics No. 1998-W19
Number of pages: 28 Posted: 30 May 2002
Tina Hviid Rydberg and Neil Shephard
University of Oxford and Harvard University
Downloads 258 (98,178)
Citation 25

Abstract:

Dynamics of Trade-by-Trade Price Movements: Decomposition and Models

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 2-25, 2003
Posted: 29 Feb 2008
Neil Shephard and Tina Hviid Rydberg
Harvard University and University of Oxford

Abstract:

activity, decompostition, directions, GLARMA, size, transactions data

12.

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Chicago Booth Research Paper No. 12-14
Number of pages: 53 Posted: 26 Apr 2012 Last Revised: 05 Dec 2016
Neil Shephard and Dacheng Xiu
Harvard University and University of Chicago - Booth School of Business
Downloads 222 (88,687)

Abstract:

EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, quasi-likelihood, semimartingale

13.

Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation

Number of pages: 44 Posted: 21 Feb 2012
Per A. Mykland, Neil Shephard and Kevin Sheppard
University of Chicago - Department of Statistics, Harvard University and University of Oxford - Department of Economics
Downloads 216 (82,030)
Citation 1

Abstract:

bipower variation, jumps, market microstructure noise, multipower variation, non-parametric analysis, quadratic variation, semimartingale, volatility, volatility of volatility

14.

Modelling Trade-By-Trade Price Movements of Multiple Assets Using Multivariate Compound Poisson Processes

Number of pages: 19 Posted: 23 Sep 1999
Tina Hviid Rydberg and Neil Shephard
University of Oxford and Harvard University
Downloads 175 (143,976)
Citation 1

Abstract:

15.

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form

Tinbergen Institute Discussion Paper No. 04-015/4
Number of pages: 32 Posted: 08 Jun 2004
Charles S. Bos and Neil Shephard
VU University Amsterdam and Harvard University
Downloads 112 (204,529)
Citation 4

Abstract:

Markov chain Monte Carlo, particle filter, cubic spline, state space form, stochastic volatility

16.

Integer-Valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

Number of pages: 29 Posted: 26 Feb 2013
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Aarhus - School of Economics and Management, Harvard University and Imperial College London
Downloads 67 (273,310)

Abstract:

Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change

17.

Continuous Time Analysis of Fleeting Discrete Price Moves

Number of pages: 35 Posted: 10 Dec 2014
Neil Shephard and Justin Yang
Harvard University and Harvard University - Department of Statistics
Downloads 23 (376,771)

Abstract:

integer-valued stochastic process, Lévy basis, Lévy process, trawl process, market microstructure, realized variance, variance signature plot

18.

Deferred Fees for Universities

Economic Affairs, Vol. 30, Issue 2, pp. 40-44, June 2010
Number of pages: 5 Posted: 08 Jun 2010
Neil Shephard
Harvard University
Downloads 2 (541,018)
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Abstract:

19.

The ACR Model: A Multivariate Dynamic Mixture Autoregression

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 5, pp. 583-618, October 2008
Number of pages: 36 Posted: 16 Sep 2008
Frédérique Bec, Anders Rahbek and Neil Shephard
University of Cergy-Pontoise, University of Copenhagen - Department of Statistics and Operations Research and Harvard University
Downloads 1 (550,965)
Citation 4
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Abstract:

20.

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

Number of pages: 42 Posted: 26 Jun 2017 Last Revised: 19 Jul 2017
Iavor Bojinov and Neil Shephard
Harvard University, Department of Statistics, Students and Harvard University
Downloads 0 (295,971)

Abstract:

Causality, potential outcomes, trading costs, non-parametric, randomization

21.

Country-Wise Differences in Perception of Health-Related Messages in Cereal-Based Food Products

Food Quality and Preference, Vol. 21, 2010
Posted: 21 Mar 2010 Last Revised: 16 Jan 2011
affiliation not provided to SSRN, affiliation not provided to SSRN, Harvard University, affiliation not provided to SSRN, VTT Technical Research Centre of Finland, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Aarhus - Department of Marketing and Statistics

Abstract:

Perceived healthiness, Likelihood to buy, Health-related messages, Conjoint analysis, Cereal-based products, Country-wise study

22.

Realized Kernels in Practice: Trades and Quotes

Econometrics Journal, Vol. 21, 2009
Posted: 10 Mar 2010
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and Harvard University

Abstract:

HAC estimator, Long run variance estimator, Market frictions, Quadratic

23.

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Nuffield College Economics Working Paper No. 2004-W29
Posted: 06 Dec 2004
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Aarhus - Department of Mathematical Sciences, Université Paris VI Pierre et Marie Curie, University of Heidelberg - Institute of Applied Mathematics and Harvard University

Abstract:

Central limit theorem, quadratic variation, bipower variation

24.

Multipower Variation and Stochastic Volatility

Nuffield College Economics Working Paper No. 2004-W30
Posted: 06 Dec 2004
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

25.

Stochastic Volatility with Leverage: Fast Likelihood Inference

Nuffield College, Oxford Economics Working Paper No. 2004-W19
Posted: 07 Sep 2004
University of Tokyo, Washington University in St. Louis - John M. Olin Business School, Harvard University and University of Tokyo

Abstract:

Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns

26.

A Feasible Central Limit Theory for Realised Volatility Under Leverage

Nuffield College Economics Working Paper No. 2004-W3
Posted: 03 Feb 2004
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

Euler approximation, Functional central limit theory, Quadratic variation, Realised volatility, Stochastic volatility

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Journal of Financial Econometrics, Vol. 4, No. 1, pp. 1-30, 2006
Posted: 29 Feb 2008
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

bipower variation, jump process, quadratic variation, realized variance, semimartingales, stochastic volatility

Econometrics of Testing for Jumps in Financial Economics using Bipower Variation

Nuffield College Economics Working Paper No. 2003-W21
Posted: 04 Nov 2003
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

Bipower variation, Jump process, Quadratic variation, Realised variance, Semimartingales, Stochastic volatility

Power and Bipower Variation with Stochastic Volatility and Jumps

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 1-37, 2004
Posted: 29 Feb 2008
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

bipower variation, integrated variance, jump process, power variation, quadratic variation, realized variance, realized volatility, semimartingale, volatility

Power and Bipower Variation with Stochastic Volatility and Jumps

Nuffield College, Oxford, Economics Working Paper No. 2003-W18
Posted: 25 Jun 2003
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

Bipower variation, Integrated variance, Jump process, Power variation, Quadratic variation, Realised variance, Realised volatility, Semimartingale, Volatility

29.

Power Variation & Stochastic Volatility: A Review and Some New Results

Nuffield College, Oxford, Economics Working Paper No. 2003-W19
Posted: 28 May 2003
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Harvard University and University of Aarhus - Department of Mathematical Sciences

Abstract:

Bipower, Mixed Gaussian limit, Power variation, Quadratic variation, Realised variance, Realised volatility, Stochastic volatility

30.

Likelihood-Based Estimation of Latent Generalised ARCH Structures

CEMFI Working Paper No. 0204
Posted: 22 Nov 2002
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Harvard University

Abstract:

Bayesian inference, Dynamic heteroskedasticity, Factor models, Makov chain Monte Carlo, Simulated EM algorithm, Volatility

31.

Testing the Assumptions Behind the use of Importance Sampling

Nuffield College, Oxford, Economics Working Paper No. 2002-W17
Posted: 13 Aug 2002
Siem Jan Koopman and Neil Shephard
Vrije Universiteit Amsterdam and Harvard University

Abstract:

Extreme value theory, Importance sampling, Simulation, Stochastic Volatility

32.

Autoregressive conditional root model

Nuffield College, Economics Working Paper No. 2002-W7
Posted: 19 Mar 2002
Anders Rahbek and Neil Shephard
University of Copenhagen - Department of Statistics and Operations Research and Harvard University

Abstract:

Cointegration, Equilibrium correction model, GARCH, Hidden Markov model, Likelihood, Regime switching, STAR model, Stochastic break, Stochastic unit root, Switching regression, Real Exchange Rate, PPP, Unit root hypothesis

33.

Realised Power Variation and Stochastic Volatility Models

Nuffield College, Economics Working Paper No. 2001-W18
Posted: 31 Aug 2001
Neil Shephard and Ole E. Barndorff-Nielsen
Harvard University and University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Abstract:

Absolute returns, Mixed asymptotic normality, Realised volatility, p-variation, Quadratic variation

34.

Integrated OU Processes

Nuffield College, Oxford, Economics WP No 2001-W1
Posted: 17 Jan 2001
Neil Shephard and Ole E. Barndorff-Nielsen
Harvard University and University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Abstract:

Background driving Levy process; Chronometer; Co-break; Econometrics; Integrated volatility; Kumulant function; Levy density; Levy process; Option pricing; OU processes; Stochastic volatility.

35.

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Posted: 28 Dec 2000
Siddhartha Chib, Neil Shephard and Federico Nardari
Washington University in St. Louis - John M. Olin Business School, Harvard University and University of Melbourne - Department of Finance

Abstract:

Bayes factor, Markov chain monte carlo, marginal likelihood, mixture models, particle filters, simulation based inference, stochastic volatility

36.

Econometric Analysis of Realised Volatility and Its Use in Estimating Levy Based Non-Gaussian OU Type Stochastic Volatility Models

Nuffield College Working Paper No. 2000-W29
Posted: 03 Dec 2000
Ole E. Barndorff-Nielsen and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Harvard University

Abstract:

37.

Analysis of High Dimensional Multivariate Stochastic Volatility Models

Washington University, Olin Working Paper No. 98-11
Posted: 18 Aug 1999
Siddhartha Chib, Federico Nardari and Neil Shephard
Washington University in St. Louis - John M. Olin Business School, University of Melbourne - Department of Finance and Harvard University

Abstract:

Simulation‐Based Likelihood Inference for Limited Dependent Processes

The Econometrics Journal, Vol. 1, Issue 1, pp. 174-202, 1998
Number of pages: 29 Posted: 24 Sep 2014
Aurora Manrique and Neil Shephard
University of Salamanca and Harvard University
Downloads 0
Citation 3
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Abstract:

Disequilibrium models, Markov chain Monte Carlo, Scan sampler, Tobit model

Simulation-Based Likelihood Inference for Limited Dependent Processes

The Econometrics Journal, Vol. 1, 1998
Posted: 22 Jul 1999
Aurora Manrique and Neil Shephard
University of Salamanca and Harvard University

Abstract:

39.

Likelihood Analysis of a First Order Autoregressive Model with Exponential Innovations

Nuffield College, University of Oxford Working Paper No. 1999-w8
Posted: 08 Apr 1999
Bent Nielsen and Neil Shephard
University of Oxford - Department of Economics and Harvard University

Abstract:

40.

Stochastic Volatility: Likelihood Inference and Comparison with Arch Models

Posted: 15 Oct 1996
Sangjoon Kim, Neil Shephard and Siddhartha Chib
affiliation not provided to SSRN, Harvard University and Washington University in St. Louis - John M. Olin Business School

Abstract: