Publications

2011
Pakel, Cavit, Neil Shephard, and Kevin K Sheppard. 2011. “Nuisance parameters, composite likelihoods and a panel of GARCH models.” Statistica Sinica 21: 307-329.
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Barndorff-Nielsen, 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.
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Flury, Thomas, and Neil Shephard. 2011. “Bayesian inference based only on a simulated likelihood.” Econometric Theory 27: 933-956.
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Meddahi, Nour, Per Mykland, and Neil Shephard, ed. 2011. “Realised volatility.” Journal of Econometrics 160.
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2010
Barndorff-Nielsen, 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.
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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.
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Shephard, Neil. 2010. “Deferred fees for universities.” Economic Affairs 30 (2): 40-44.
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Shephard, Neil, and Kevin K Sheppard. 2010. “Realising the future: forecasting with high frequency based volatility (HEAVY) models.” Journal of Applied Econometrics 25: 197-231.
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Lunde, Asger, Neil Shephard, and Kevin K Sheppard. 2010. “Realized Library ”. Publisher's Version Abstract
Our "Realized library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past. Each day's volatility measure depends solely on financial data from that day. They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History database. Realised measures are not volatility forecasts. However, some researchers use these measures as an input into forecasting models. The realized measures are computed every night and recorded on the website.
2009
Andersen, Torben G., and Neil Shephard. 2009. “Stochastic Volatility: Origins and Overview.” Handbook of Financial Time Series, (Edited by T.G. Andersen, R.A. Davis, J.P. Kreiss and T. Mikosch), 233-254. Springer.
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Barndorff-Nielsen, Ole E., Peter R Hansen, Asger Lunde, and Neil Shephard. 2009. “Realised kernels in practice: trades and quotes.” Econometrics Journal 12: C1-C32.
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Koopman, Siem Jan, Drew Creal, and Neil Shephard. 2009. “Testing the assumptions behind importance sampling.” Journal of Econometrics 149: 2-11.
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The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
Castle, Jennifer L, and Neil Shephard, ed. 2009. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford University Press.
2008
Shephard, Neil. 2008. “Stochastic volatility.” New Palgrave Dictionary of Economics, 2nd edition, (edited by Steven Durlauf and Lawrence Blume). MacMillan.
Barndorff-Nielsen, Ole E., Peter R Hansen, Asger Lunde, and Neil Shephard. 2008. “Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.” Econometrica 76: 1481-1536.
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Bec, Frederique, Anders Rahbek, and Neil Shephard. 2008. “The ACR model: a multivariate dynamic mixture autoregression.” Oxford Bulletin of Economics and Statistics 70: 583-618.
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Statistical Algorithms for Models in State Space Form: SsfPack 3.0
Koopman, Siem Jan, Neil Shephard, and Jurgen A Doornik. 2008. Statistical Algorithms for Models in State Space Form: SsfPack 3.0. Timberlake Consultants Press.
2007
Barndorff-Nielsen, Ole E., and Neil Shephard. 2007. “Variation, jumps and high frequency data in financial econometrics.” Advances in Economics and Econometrics. Theory and Applications, Nineth World Congress, (edited by Richard Blundell, Persson Torsten and Whitney K Newey), 328-372. Cambridge University Press.
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Chib, Siddhartha, Yasuhiro Omori, Jouchi Nakajima, and Neil Shephard. 2007. “Stochastic volatility with leverage: fast and efficient likelihood inference.” Journal of Econometrics 140: 425-449.
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2006
Shephard, Neil, and Ole E. Barndorff-Nielsen. 2006. “Realised variance and market microstructure noise.” Journal of Business and Economic Statistics. Edited by Hansen and Lunde, 179-181.

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