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.

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.

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.

Barndorff-Nielsen, Ole E., Jean Jacod Gravensen, and Mark Podolskij. 2006. “A central limit theorem for realised power and bipower variations of continious semimartingales.” From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, (edited by Kabanov, Y and R Lipster), 33-68. Springer.

Doornik, Jurgen A, David F Hendry, and Neil Shephard. 2006. “Parallel computation in econometrics: a simplified approach.” Handbook of Parallel Computing and Statistics, (edited by E.J. Kontoghiorghes), 449-476. Chapman and Hall.

Barndorff-Nielsen, Ole E., and Neil Shephard. 2006. “Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes".” Journal of Econometrics 131: 217-252.

Barndorff-Nielsen, Ole E., and Neil Shephard. 2006. “Econometrics of testing for jumps in financial economics using bipower variation.” Journal of Financial Econometrics 4: 1-30.

Barndorff-Nielsen, Ole E., Neil Shephard, and Matthias Winkel. 2006. “Limit theorems for multipower variation in the presence of jumps.” Stochastic Processes and Their Applications 116: 796-806.

Barndorff-Nielsen, Ole E., Sven Erik Graversen, Jean Jacod, and Neil Shepherd. 2006. “Limit theorems for bipower variation in financial econometrics.” Econometric Theory 22: 677-719.

Chib, Siddhartha, Federico Nardari, and Neil Shephard. 2006. “Analysis of high dimensional multivariate stochastic volatility models.” Journal of Econometrics 132: 341-371.

Bos, Charles, and Neil Shephard. 2006. “Inference for adaptive series models: stochastic volatility and conditionally Gaussian state space form.” Econometrics Reviews 25: 219-244.

Barndorff-Nielsen, Ole E., and Neil Shephard. 2005. “How accurate is the asymptotic approximation to the distribution of realised volatility?” Identification and Inference for Econometric Models. A Festschrift for Tom Rotheberg, (edited by Donald W.K. Andrews and James H. Stock), 306-331. Cambridge University Press.

Shephard, Neil. 2005. “Are there discontinuities in financial prices?” Celebrating Statistics: Papers in Honour of Sir David Cox on his 80th Birthday, (edited by Anthony Davison, Yadolah Dodge and Nanny Wermuth), 213-231. Oxford University Press.

Shephard, Neil, ed. 2005. “Introduction.” Stochastic Volatility, edited by Neil Shephard, 1-33. Oxford University Press.

Barndorff-Nielsen, Ole E., and Neil Shephard. 2005. “Multipower variation and stochastic volatility.” Stochastic Finance , (edited by A.N. Shiryaev, M.R. Grossinho, P.E. Oliveira, M.L. Esquivel), 73-82. Springer.

Barndorff-Nielsen, Ole E., and Neil Shephard. 2005. “Power variation and time change.” Teoriya Veroyatnostei i ee Primeneniya 50: 115-130.

Shephard, Neil. 2005. Stochastic Volatility: Selected Readings. Oxford University Press, 536.

Barndorff-Nielsen, Ole E., Bent Nielsen, Carla Ysusi, and Neil Shephard. 2004. “Measuring and forecasting financial variability using realised variance with and without a model.” State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin, (edited by Andrew C. Harvey, Siem Jan Koopman and Neil Shephard), 205-235. Cambridge University Press.

Barndorff-Nielsen, Ole E., and Neil Shephard. 2004. “Power and bipower variation with stochastic volatility and jumps.” (with discussion) Journal of Financial Econometrics 2: 1-48.

Barndorff-Nielsen, Ole E., Sven Erik Graversen, and Neil Shephard. 2004. “Power variation and stochastic volatility: a review and some new results.” Journal of Applied Probability 41A: 133-143.