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., 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.
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.
Pitt, Michael K, and Neil Shephard. 1999. “Time varying covariances: a factor stochastic volatility approach.” Bayesian Statistics 6, Proceedings of the Sixth Valencia International Meeting, (edited by J.M. Bernardo, J.O. Berger, A.P. Dawid and A.F.M Smith), 547-570. Oxford: Oxford University Press.