Harvey, Andrew C, and Neil Shephard. 1993. “Structural time series models.” Handbook of Statistics, (edited by G.S. Maddala, C.R. Rao and H.D. Vinod), Vol. 11:Econometrics: 261-302. Amsterdam: North Holland.
Shephard, Neil. 1993. “Distribution of the ML estimator of a MA(1) and a local level model.” Econometric Theory 9: 377-401.
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Shephard, Neil. 1993. “Maximum likelihood estimation of regression models with stochastic trend components .” Journal of the American Statistical Association 84: 590-595.
1993. “Fitting nonlinear time series models with applications to stochastic variance models.” Journal of Applied Econometrics 8: S135-152.
Reprinted in "Econometric Inference using Simulation Techniques" (editors B.W. Brown, Alain Monfort and Herman K. Van Dijk), Chichester: John Wiley & Sons, 1995, 151-168.
Koopman, Siem Jan, and Neil Shephard. 1992. “The exact score for time series models in state space form.” Biometrika 79: 823-826.
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Shephard, Neil. 1991. “From characteristic function to distribution function: a simple framework for the theory.” Econometric Theory 7: 519-529.
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Shephard, Neil. 1991. “Numerical integration rules for multivariate inversions.” Journal of Statistical Computation and Simulation 39: 37-46.
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Shephard, Neil. 1990. “The singular-value decomposition of the first-order difference matrix.” Econometric Theory, no. 6: 119-120.
Harvey, Andrew C. 1990. “On the probability of estimating a deterministic component in the local level model.” Journal of Time Series Analysis 11: 339-347.