Neil Shephard - Google Scholar Citations

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Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamVerified email at vu.nl
Siddhartha ChibHarry C Hartkopf Professor of Econometrics and StatisticsVerified email at wustl.edu
M PittKing's College LondonVerified email at kcl.ac.uk
Asger LundeProfessor of Economics, Aarhus UniversityVerified email at econ.au.dk
Peter HansenHenry A. Latané Distinguished Professor, Dept. of Economics, University of North Carolina & VisitingVerified email at unc.edu
Kevin SheppardUniversity Lecturer, University of OxfordVerified email at economics.ox.ac.uk
anna vignolesUniversity of Cambridge and Institute of EducationVerified email at cam.ac.uk
Anders RahbekProfessor, University of CopenhagenVerified email at econ.ku.dk
David F HendrySenior Research Fellow, Nuffield College, Oxford UniversityVerified email at nuffield.ox.ac.uk
Bent NielsenNuffield College & Department of Economics, Oxford & Programme on Economic Modelling, INET, OxfordVerified email at nuffield.ox.ac.uk
Mark PodolskijProfessor of Probability and Statistics, Aarhus UniversityVerified email at math.au.dk
Dacheng Xiu (修大成)University of Chicago Booth School of BusinessVerified email at chicagobooth.edu
Per MyklandRobert M. Hutchins Professor of Statistics and Finance, The University of ChicagoVerified email at pascal.uchicago.edu
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityVerified email at northwestern.edu
Almut VeraartImperial College LondonVerified email at imperial.ac.uk
Arnaud DoucetProfessor of Statistics, University of Oxford & Research Scientist, Google DeepMindVerified email at stats.ox.ac.uk
Luke BornnSacramento Kings and Simon Fraser UniversityVerified email at stat.harvard.edu

Neil Shephard

Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University

Verified email at fas.harvard.edu - Homepage

Econometrics economics statistics financial econometrics finance


Title	Cited by	Year
Filtering via simulation: Auxiliary particle filters MK Pitt, N Shephard Journal of the American statistical association 94 (446), 590-599, 1999	2855	1999
Stochastic volatility: likelihood inference and comparison with ARCH models S Kim, N Shephard, S Chib The review of economic studies 65 (3), 361-393, 1998	2372	1998
Econometric analysis of realized volatility and its use in estimating stochastic volatility models OE Barndorff‐Nielsen, N Shephard Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2002	2086	2002
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics OE Barndorff‐Nielsen, N Shephard Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2001	2050	2001
Power and bipower variation with stochastic volatility and jumps OE Barndorff-Nielsen, N Shephard Journal of financial econometrics 2 (1), 1-37, 2004	1785	2004
Multivariate stochastic variance models A Harvey, E Ruiz, N Shephard The Review of Economic Studies 61 (2), 247-264, 1994	1710	1994
Five alternative methods of estimating long-run equilibrium relationships J Gonzalo Journal of econometrics 60 (1-2), 203-233, 1994	1606	1994
Econometrics of testing for jumps in financial economics using bipower variation OE Barndorff-Nielsen, N Shephard Journal of financial Econometrics 4 (1), 1-30, 2006	1235	2006
Designing realized kernels to measure the ex post variation of equity prices in the presence of noise OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard Econometrica 76 (6), 1481-1536, 2008	1163	2008
Statistical aspects of ARCH and stochastic volatility N Shephard Monographs on Statistics and Applied Probability 65, 1-68, 1996	1122	1996
STAMP 6.0: Structural Time Series Analyser, Modeller and Predictor SJ Koopman, AC Harvey, JA Doornik, N Shephard London: Timberlake Consultants, 2000	942	2000
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics OE Barndorff‐Nielsen, N Shephard Econometrica 72 (3), 885-925, 2004	806	2004
Likelihood analysis of non-Gaussian measurement time series N Shephard, MK Pitt Biometrika 84 (3), 653-667, 1997	800	1997
Markov chain Monte Carlo methods for stochastic volatility models S Chib, F Nardari, N Shephard Journal of Econometrics 108 (2), 281-316, 2002	675	2002
The simulation smoother for time series models P De Jong, N Shephard Biometrika 82 (2), 339-350, 1995	656	1995
Statistical algorithms for models in state space using SsfPack 2.2 SJ Koopman, N Shephard, JA Doornik The Econometrics Journal 2 (1), 107-160, 1999	622	1999
Estimating quadratic variation using realized variance OE Barndorff‐Nielsen, N Shephard Journal of Applied econometrics 17 (5), 457-477, 2002	582	2002
Likelihood inference for discretely observed nonlinear diffusions O Elerian, S Chib, N Shephard Econometrica 69 (4), 959-993, 2001	571	2001
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading OE Barndorff-Nielsen, PR Hansen, A Lunde, N Shephard Journal of Econometrics 162 (2), 149-169, 2011	570	2011
Realized kernels in practice: Trades and quotes OE Barndorff‐Nielsen, PR Hansen, A Lunde, N Shephard The Econometrics Journal 12 (3), C1-C32, 2009	543	2009

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