Publications

1999
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.
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Pitt, Michael J, and Neil Shephard. 1999. “Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.” Journal of Time Series Analysis 20: 63-85.
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Pitt, Michael J, and Neil Shephard. 1999. “Filtering via simulation: auxiliary particle filter.” Journal of the American Statistical Association 94: 590-599.
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Koopman, Siem Jan, Jurgen A Doornik, and Neil Shephard. 1999. “Statistical Algorithms for Models in State Space Form using SsfPack 2.2.” Econometrics Journal 2: 107-160.
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1998
Sangjoon, Kim, Neil Shephard, and Siddhartha Chib. 1998. “Stochastic volatility: likelihood inference and comparison with ARCH models.” Review of Economic Studies 63: 361-393.
Reprinted in "Recent Developments in Time Series", (editors Stephen Leybourne and Paul Newbold), in "The International Library of Critical Writings in Econometrics, Volume 2" Edward Elgar Publishers, 2003, 196-228. Reprinted in "Stochastic Volatility: Selected Readings," (editor N. Shephard), 2005, 283-322, Oxford University Press.
Manrique, Aurora, and Neil Shephard. 1998. “Likelihood inference for limted dependent processes.” Econometrics Journal 1: C174-C202.
1997
Pitt, Michael K, and Neil Shephard. 1997. “Antithetic MCMC for non-Gaussian measurements with applications to stochastic volatility.” Journal of the American Statistical Association, no. Proceedings of the Bayesian Statistics Section: 81-86.
Pitt, Michael K, and Neil Shephard. 1997. “Likelihood analysis of non-Gaussian measurement time series.” Biometrika 84: 653-667.
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Reprinted in "Readings in Unobserved Component Models," A.C. Harvey and T. Proietti, 2005, 368-385, Oxford University Press.
Hendry, David F, and Neil Shephard, ed. 1997. “Cointegration and dynamics in Economics.” Journal of Econometrics 80.
1996
Shephard, Neil. 1996. “Statistical aspects of ARCH and stochastic volatility.” Time Series Models in Econometrics, Finance and Other Fields, (edited by D.R. Cox, David V. Hinkley and Ole E. Barndorff-Neilsen), 1-67. London: Chapman & Hall.
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Reprinted in the Survey of Applied and Industrial Mathematics, issue on Financial and insurance mathematics, 3, 764-826, Scientific Publisher TVP, Moscow, 1996 (in Russian).
Atkinson, Anthony C, and Neil Shephard. 1996. “Deletion diagnostics and transformations for time series.” Journal of Forecasting 15: 1-17.
Harvey, Andrew C, and Neil Shephard. 1996. “Estimation of an asymmetric model of asset prices.” Journal of Business and Economic Statistics 14: 429-434.
Atkinson, Anthony C, Siem Jan Koopman, and Neil Shephard. 1996. “Detecting shocks: outliers and breaks in time series.” Journal of Econometrics 80: 387-422.
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1995
de Jong, Piet, and Neil Shephard. 1995. “The simulation smoother for time series models.” Biometrika 82: 339-350.
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Reprinted in "Readings in Unobserved Component Models," A.C. Harvey and T. Proietti, 2005, 354-367, Oxford University Press.
Koopman, Siem Jan, Andrew C Harvey, Jurgen A Doornik, and Neil Shephard. 1995. STAMP: Structural Time Series Analyser, Modeller and Predictor (5). 5th ed. Timberlake Consultants Press.
1994
Sangjoon, Kim, and Neil Shephard. 1994. “Bayesian analysis of stochastic volatility models.” Journal of Business and Economic Statistics, no. 11: 406-410.
Atkinson, Anthony C, Siem Jan Koopman, and Neil Shephard. 1994. “Outliers and switches in time series.” Asymptotic Statistics, (edited by P. Mandl and M. Huskova), 35-48. Heidelberg: Physica-Verlag.
Shephard, Neil. 1994. “A local scale model: state space alternatives to integrated GARCH processes.” Journal of Econometrics 60: 181-202.
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Shephard, Neil. 1994. “Partial non-Gaussian time series models.” Biometrika 81: 115-131.
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Harvey, Andrew C, Esther Ruiz, and Neil Shephard. 1994. “Multivariate stochastic variance models.” Review of Economic Studies 61: 247-264.
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Reprinted in "ARCH: Selected Readings," (editor Robert F. Engle), 1995, 256-276, Oxford University Press. Reprinted in "Recent Developments in Time Series," (editors Stephen Leybourne and Paul Newbold), Edward Elgar Publishers, 2003, 135-152. Reprinted in "Stochastic Volatility: Selected Readings," (editor Neil Shephard), Oxford University Press, 156-176, 2005.

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