Neil Shephard

Professor of Economics, University of Oxford
Professorial Fellow in Economics, Nuffield College, Oxford
[On sabbatical leave]
Main contact Information
Office: Nuffield College, Oxford
Phone: +44 1865 278500
Research Interests:
Theoretical and applied econometrics, finance and statistics.

New papers or revisions: 2012-2013

  • Martingale unobserved component models
  • Integer-valued trawl processes: A class of stationary infinitely divisible processes (with Ole E. Barndorff-Nielsen, Asger Lunde and Almut Veraart)
  • Robust inference on parameters via particle filters and sandwich covariance matrices (with Arnaud Doucet)
  • Basics of Levy processes (with Ole E. Barndorff-Nielsen)
  • Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices (with Dacheng Xiu)
  • Efficient and feasible inference for the components of financial variation using blocked multipower variation (with Per Mykland and Kevin Sheppard)
  • Multivariate Rotated ARCH models (with Diaa Noureldin and Kevin Sheppard)
  • Integer-valued Levy processes and low latency financial econometrics (with Ole E. Barndroff-Nielsen and David G Pollard)