Neil Shephard

发表

A nonparametric Bayesian approach to copula estimation

Shaoyang Ning, Neil Shephard, 2017 .

Are there discontinuities in financial prices

Neil Shephard, 2005 .

A Nonparametric Dynamic Causal Model for Macroeconometrics

Neil Shephard, Ashesh Rambachan, N. Shephard, 2019, SSRN Electronic Journal.

Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"

Siddhartha Chib, Neil Shephard, N. Shephard, 2001 .

Nuisance parameters, composite likelihoods and a panel of GARCH models

Neil Shephard, Kevin Sheppard, Cavit Pakel, 2009 .

State Space and Unobserved Component Models

Siem Jan Koopman, Andrew Harvey, Neil Shephard, 2004 .

Creative arts degrees cost taxpayers 30% more than engineering degrees

Neil Shephard, Jack Britton, Chris Belfield, 2019 .

Statistical algorithms for models in state space using SsfPack 2.2

Jurgen A. Doornik, Neil Shephard, Siem Jan Koopman, 1999 .

Data collection tools

Daniel Hind, Neil Shephard, Allan Wailoo, 2016 .

Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models

Neil Shephard, N. Shephard, 1993 .

Fitting Vast Dimensional Time-Varying Covariance Models

Robert F. Engle, Neil Shephard, Kevin Sheppard, 2017, Journal of Business & Economic Statistics.

GENASS: Stata module to perform Genetic Case-control Association tests

Neil Shephard, N. Shephard, 2005 .

Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading

Neil Shephard, Iavor Bojinov, N. Shephard, 2017, Journal of the American Statistical Association.

Statistical algorithms for models in state space form: SsfPack 3.0

Siem Jan Koopman, Jurgen A. Doornik, Neil Shephard, 2008 .

Simulation�?Based Likelihood Inference for Limited Dependent Processes

Neil Shephard, Aurora Manrique, N. Shephard, 1998 .

Fitting and Testing Vast Dimensional Time-Varying Covariance Models

Robert F. Engle, Neil Shephard, Kevin Sheppard, 2007 .

Likelihood-based estimation of latent generalised ARCH structures

Gabriele Fiorentini, Enrique Sentana, Neil Shephard, 2004 .

Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading

Neil Shephard, Iavor Bojinov, 2017 .

Outliers and Switches in Time Series

Siem Jan Koopman, A. C. Atkinson, Neil Shephard, 1994 .

Frequency domain and wavelet-based estimation for long-memory signal plus noise models

Andrew Harvey, Neil Shephard, Siem Jan Koopman, 2004 .

Panel experiments and dynamic causal effects: A finite population perspective

Neil Shephard, Ashesh Rambachan, Iavor Bojinov, 2020, Quantitative Economics.

Likelihood-based estimation of latent generalised ARCH

Enrique Sentana, Neil Shephard, 2003 .

From Characteristic Function to Distribution Function: A Simple Framework for the Theory

Neil Shephard, N. Shephard, 1991, Econometric Theory.

Likelihood Analysis of Non-Gaussian Parameter-Driven Models

Michael K. Pitt, Neil Shephard, 1995 .

Limit theorems for multipower variation in the presence of jumps

Neil Shephard, Matthias Winkel, Ole E. Barndorff-Nielsen, 2006 .

Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

Neil Shephard, Ole E. Barndorff-Nielsen, N. Shephard, 2003 .

The Econometrics Journal of the Royal Economic Society

David F. Hendry, Neil Shephard, N. Shephard, 1998 .

Multivariate High-Frequency-Based Volatility (HEAVY) Models

Neil Shephard, Kevin Sheppard, N. Shephard, 2012 .

Locally weighted Markov chain Monte

Neil Shephard, Espen Bernton, N. Shephard, 2018 .

Detecting shocks: Outliers and breaks in time series

Siem Jan Koopman, Neil Shephard, A. C. Atkinson, 1997 .

Multipower Variation and Stochastic Volatility

Neil Shephard, Ole E. Barndorff-Nielsen, N. Shephard, 2004 .

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.

Siddhartha Chib, Neil Shephard, N. Shephard, 2002 .

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Siddhartha Chib, Neil Shephard, N. Shephard, 2000 .

Locally weighted Markov chain Monte Carlo

Jun S. Liu, Neil Shephard, Espen Bernton, 2015, 1506.08852.

A semiparametric stochastic volatility model

Neil Shephard, Yong Li, Yiu Kuen Tse, 2012 .

Moment conditions and Bayesian non‐parametrics

Luke Bornn, Neil Shephard, Reza Solgi, 2015, Journal of the Royal Statistical Society: Series B (Statistical Methodology).

Dynamics of Trade-by-Trade Price Movements: Decomposition and Models

Neil Shephard, Tina Hviid Rydberg, N. Shephard, 1999 .

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form

Charles S. Bos, Neil Shephard, N. Shephard, 2004 .

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Neil Shephard, Asger Lunde, N. Shephard, 2008 .

Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices

Neil Shephard, Dacheng Xiu, N. Shephard, 2012 .

Estimating quadratic variation using realised volatility

Neil Shephard, Ole E. Barndorff-Nielsen, N. Shephard, 2001 .

ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL

Andrew Harvey, Neil Shephard, N. Shephard, 1990 .

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Jean Jacod, Mark Podolskij, Neil Shephard, 2004 .

ANTITHETIC VARIABLES FOR MCMC METHODS APPLIED TO NON-GAUSSIAN STATE SPACE MODELS

Neil Shephard, N. Shephard, 2007 .

10 Structural time series models

Andrew Harvey, Neil Shephard, N. Shephard, 1993 .

Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation

Neil Shephard, Kevin Sheppard, N. Shephard, 2012 .

A feasible central limit theory for realised volatility under leverage

Neil Shephard, Ole E. Barndorff-Nielsen, N. Shephard, 2004 .

Unobserved Components and Time Series Econometrics

Siem Jan Koopman, Neil Shephard, 2015 .

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Neil Shephard, Dacheng Xiu, N. Shephard, 2016 .

Measuring Downside Risk - Realised Semivariance

Neil Shephard, N. Shephard, O. Barndorff-Nielsen, 2008 .

The Methodology and Practice of Econometrics

Jennifer L. Castle, Neil Shephard, N. Shephard, 2009 .

Bayesian Analysis of Stochastic Volatility Models: Comment

Neil Shephard, Sangjoon Kim, 1994 .

Power variation and stochastic volatility: a review and some new results

Neil Shephard, Ole E. Barndorff-Nielsen, Svend Erik Graversen, 2004, Journal of Applied Probability.

Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise

Neil Shephard, Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, 2004 .

Discrete-valued Levy processes and low latency financial econometrics

Neil Shephard, Ole E. Barndorff-Nielsen, N. Shephard, 2010 .

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Neil Shephard, Asger Lunde, Ole E. Barndorff-Nielsen, 2010 .

Generalized linear autoregressions

Neil Shephard, N. Shephard, 1995 .

Testing the Assumptions Behind the use of Importance Sampling

Siem Jan Koopman, Neil Shephard, N. Shephard, 2002 .

Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components

Neil Shephard, N. Shephard, 1993 .

Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession

Anna Vignoles, Neil Shephard, Jack Britton, 2015 .

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Neil Shephard, Kevin Sheppard, N. Shephard, 2010 .