Publications

Working Paper
Deardon, Lorraine, Neil Shephard, Jack Britton, and Anna Vignoles. Working Paper. “How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background”. Publisher's Version wp201606.pdf
Britton, Jack, Neil Shephard, and Anna Vignoles. Working Paper. “Comparing sample survey measures of English earnings ofgraduates with administrative data during the Great Recession”. bsv20150905.pdf
Bornn, Luke, Neil Shephard, and Reza Solgi. Working Paper. Moment conditions and Bayesian nonparametrics. bornnshephardsolgi20160113.pdf
Forthcoming
Shephard, Neil, and Justin J Yang. Forthcoming. “Continuous time analysis of fleeting discrete price moves.” Journal of the American Statistical Association. yn_fleeting_prices_v3-1.pdf
Lunde, Asger, Kevin Sheppard, and Neil Shephard. Forthcoming. “Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice.” Journal of Business and Economic Statistics.
2015
Shephard, Neil, and Justin Yang. 2015. “Likelihood Inference for Exponential-Trawl Processes.” The Fascination of Probability, Statistics and their Applications, edited by Mark Podolskij, Robert Stelzer, and S Thorbjornsen, 251-281. Springer, 251-281. Publisher's Version fleeting_prices_bn_v1.5.pdf
Shephard, Neil. 2015. “Martingale unobserved component models.” Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard, 218-249. Oxford: Oxford University Press, 218-249.
Koopman, Siem Jan, and Neil Shephard, ed. 2015. Unobserved Components and Time Series Econometrics. Oxford: Oxford University Press, 370. Publisher's Version
2014
Noureldin, Diaa, Kevin Sheppard, and Neil Shephard. 2014. “Multivariate Rotated ARCH models.” Journal of Econometrics 179: 16-30.
Barndorff-Neilsen, Ole E., Asger Lunde, Neil Shephard, and Almut Veraart. 2014. “Integer value trawl processes: a class of stationary infinitely divisible processes.” Scandanavian Journal of Statistics 41: 693-724. GeneralTrawlPaper.pdf
2012
Barndorff-Neilsen, Ole E, David G Pollard, and Neil Shephard. 2012. “Integer-valued Levy processes and low latency financial econometrics.” Quantitative Finance 12: 587-605. Upload paper
Shephard, Neil, Diaa Noureldin, and Kevin K Sheppard. 2012. “Multivariate high-frequency-based volatility (HEAVY) models.” Journal of Applied Econometrics 27: 907-933. Upload paper
2011
Barndorff-Neilsen, Ole E, Peter R Hansen, Asger Lunde, and Neil Shephard. 2011. “Subsampling realised kernels.” Journal of Econometrics 160: 204-219. Upload paper
Pakel, Cavit, Neil Shephard, and Kevin K Sheppard. 2011. “Nuisance parameters, composite likelihoods and a panel of GARCH models.” Statistica Sinica 21: 307-329. Upload paper
Barndorff-Neilsen, Ole E, Peter R Hansen, Asger Lunde, and Neil Shephard. 2011. “Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.” Journal of Econometrics 162: 149-169. Upload paper
Flury, Thomas, and Neil Shepard. 2011. “Bayesian inference based only on a simulated likelihood.” Econometric Theory 27: 933-956. Upload paper
Meddahi, Nour, Per Mykland, and Neil Shephard, ed. 2011. “Realised volatility.” Journal of Econometrics 160. Upload paper
2010
Barndorff-Neilsen, Ole E, Silvia Kinnebrouk, and Neil Shephard. 2010. “Measuring downside risk: realised semivariance.” Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, (Edited by T. Bollerslev, J. Russell and M. Watson), 117-136. Oxford University Press, 117-136. Upload paper
Barndorff-Neilsen, Ole E, and Neil Shephard. 2010. “Measuring and modelling volatility.” Encyclopedia of Quantitative Finance, (edited by Rama Cont), 1898-1901. Chichester, UK: John Wiley and Sons, Ltd, 1898-1901. Upload paper
Shephard, Neil. 2010. “Deferred fees for universities.” Economic Affairs 30 (2): 40-44. Upload paper

Pages