Publications

2004
Barndorff-Neilsen, Ole E, Sven Erik Graversen, and Neil Shephard. 2004. “Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics.” Econometrica 72: 885-9225.
Upload paper
Fiorentini, G, Enrique Sentana, and Neil Shephard. 2004. “Likelihood-based estimation of latent generalised ARCH structures.” Econometrica 72: 885-925.
Upload paper
State Space and Unobserved Component Models: Theory and Applications
Harvey, Andrew C, Siem Jan Koopman, and Neil Shephard. 2004. State Space and Unobserved Component Models: Theory and Applications. Cambridge Press.
2003
Barndorff-Nielsen, Ole E., and Neil Shephard. 2003. “Realised power variation and stochastic volatility variance.” Bernoulli 9: 243-265.
Upload paper
Barndorff-Nielsen, Ole E., and Neil Shephard. 2003. “Integrated OU processes and non-Gaussian OU-based stochastic volatility models.” Scandinavian Journal of Statistics 30: 277-295.
Upload paper
Rydberg, Trina H, and Neil Shephard. 2003. “Dynamics of trade-by-trade price movements: decomposition and models.” Journal of Financial Econometrics 1: 2-25.
Upload paper
Nielsen, Bent, and Neil Shephard. 2003. “Likelihood analysis of a first oder autoregrassive model with exponential innovations.” Journal of Time Series Analysis 24: 337-344.
2002
Shephard, Neil. 2002. “Comment on: Numeral techniques for maximum likelihood estimation of continuous-time diffusion processes, by Garland Durham and Ron Gallant.” Journal of Business and Economic Statistics, 325-327.
Chib, Siddhartha, Federico Nardari, and Neil Shephard. 2002. “Markov Chain Monte Carlo methods for stochastic volatility models.” Journal of Econometrics 108: 281-316.
Upload paper
Barndorff-Nielsen, Ole E., 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: 253-280.
Upload paper
Reprinted in "Stochastic Volatility: Selected Readings," (editor Neil Shephard), Oxford University Press, 480-514, 2005. Reprinted in "Financial Risk Measurement and Management" (editor Francis X. Diebold), Edward Elgar.
Barndorff-Nielsen, Ole E., Elisa Nicolato, and Neil Shephard. 2002. “Some recent developments in stochastic volatility modelling.” Quantitative Finance 2: 11-23.
Upload paper
Doornik, Jurgen A, David F Hendry, and Neil Shephard. 2002. “Computationally-intensive econometrics using a distributed matrix-programming.” Philosophical Transactions of the Royal Society of London, Series A 30: 1245-1266.
Barndorff-Nielsen, Ole E., and Neil Shephard. 2002. “Estimating quardratic variation using realised variance.” Journal of Applied Econometrics 17: 457-477.
Upload paper
2001
Barndorff-Nielsen, Ole E., and Neil Shephard. 2001. “Modelling by Levy processes for financial econometrics.” Theory and Application , (edited by Ole E. Barndordd-Neilsen, Thomas Mikosch and Sid Resnick), 283-318. New York: Birkhauser.
Upload paper
Pitt, Michael J, and Neil Shephard. 2001. “Auxiliary variable particle filters.” Sequential Monte Carlo Methods in Practice, (edited by A. Doucet, J.F.G de Freitas and N.J. Gordon), 273-293. New York: Springer-Verlag.
Upload paper
Barndorff-Nielsen, Ole E., 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: 167-241.
Upload paper
Elerian, Ola, Siddhartha Chib, and Neil Shephard. 2001. “Likelihood inference for discretely observed non-linear diffusions.” Econometrica 69: 959-993.
Upload paper
Barndorff-Nielsen, Ole E., and Neil Shephard. 2001. “Normal modified stable processes.” Theory of Probability and Mathematical Statistics, 1-19.
2000
Shephard, Neil. 2000. “Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives.” Journal of the Royal Statistical Society. Edited by Durbin and Koopman Series B (62): 30-32.
Rydberg, Trina H, and Neil Shephard. 2000. “A modelling framework for the prices and times made on the New York stock exchange.” Non-Statopnary and Non-Linear Signal Extraction, (edited by W.J. Fitzgerald, R.L. Smith, A.T. Walden and P.C. Young). Cambridge: Issac Newton Institute Series, Cambridge University Press.
Upload paper

Pages