Working Paper
Shephard, Neil, Luke Bornn, and Reza Solgi. Working Paper. Nonparametric hierarchical Bayesian quantiles.Abstract
Here we develop a method for performing nonparametric Bayesian inference on quantiles.
Relying on geometric measure theory and employing a Hausdor base measure, we are able to specify meaningful priors for the quantile while treating the distribution of the data otherwise nonparametrically. We further extend the method to a hierarchical model for quantiles of subpopulations, linking subgroups together solely through their quantiles. Our approach is computationally straightforward, allowing for censored and noisy data. We demonstrate the proposed methodology on simulated data and an applied problem from sports statistics, where it is observed to stabilize and improve inference and prediction.
Britton, Jack, Lorraine Deardon, Neil Shephard, and Anna Vignoles. Working Paper. Is improving access to university enough? Socio economic gaps inthe earnings of English graduates.Abstract
Much research and policy attention has been on socio economic gaps in participation at university, but little attention has been paid to gaps in earnings. This paper addresses this shortfall using tax and student loan administrative data to investigate the earnings of English graduates up to their mid thirties by socio economic background. We find that  graduates from higher income families (from the top fth of the income distribution of those enrolled in university) have average earnings which are 20% higher than those from lower income families. Once we condition on institution and subject choices, this premium roughly halves, to around 10%. The premium grows with age and is larger for men, in particular for men at the most selective universities. We follow Chetty et al. (2017) and estimate English mobility scorecards by university and subject, highlighting the good performance of medicine, economics, law, business, engineering, technology, math, computer science and architecture courses as well as the prominent London-based universities.
Shephard, Neil, and Iavor Bojinov. Working Paper. Time series experiments and causal estimands: exact randomization tests and trading.Abstract
We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data.  Our approach allows the estimation of a broad class of these estimands and exact randomization based p-values for testing causal effects, without imposing stringent assumptions.  We further derive a general central limit theorem that can be used to conduct conservative tests and build confidence intervals for causal effects.  Finally, we provide three methods for generalizing our approach to multiple units that are receiving the same class of treatment, over time.  We test our methodology on simulated "potential autoregressions,"which have a causal interpretation.  Our methodology is partially inspired by data from a large number of experiments carried out by a financial company who compared the impact of two different ways of trading equity futures contracts.  We use our methodology to make causal statements about their trading methods.
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
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.
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
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
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
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