|Education||University of York
London School of Economics
Nuffield College, Oxford
|Occupation||Professor of Economics and Statistics
|Known for||auxiliary particle filter, realized variance, multipower variation|
He studied economics and statistics as an undergraduate at the University of York (UK) graduating in 1986 and did his M.Sc. and Ph.D. (awarded in 1990) at the LSE where he was a faculty lecturer from 1988 to 1993 in statistics. He moved to Nuffield College, 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 when he was appointed to a statutory professorship in economics at Oxford University. He was Director of the Oxford Financial Research Centre from 2006 to 2007 and with Colin Mayer (Saïd Business School, Oxford) founded Oxford University's Masters in Financial Economics (MFE). In 2007 he founded the Oxford-Man Institute, which he directed from 2007 to 2011. He moved to Harvard University in 2013.
He was elected a Fellow of the British Academy in 2006, a Fellow of the Econometric Society in 2004 and a Fellow of Nuffield College, Oxford in 1991. He was awarded an honorary doctorate by Aarhus University in 2009, the 2012 Richard Stone Prize in Applied Econometrics and the 2017 Guy Medal in Silver of the Royal Statistical Society.
His most well known contributions are: (i) the formalisation of the econometrics of realized 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) the development of realized kernels, which extends realized volatility to nonparametrically deal with market microstructure effects.
- Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536
- 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, 590–599.
- Sangjoon Kim, Siddhartha Chib and Neil Shephard (1998) Stochastic volatility: likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 1998, 361–393.
- Andrew C. Harvey, Esther Ruiz and Neil Shephard (1994) Multivariate stochastic variance models, Review of Economic Studies 61, 1994, 247–264.
- Jennifer L Castle and Neil Shephard (2009) The Methodology and Practice of Econometrics: a Festschrift in Honour of David F. Hendry, edited volume, Oxford University Press.
- 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. A Festschrift in Honour of Jim Durbin