Details about Neil Shephard

Access statistics for papers by Neil Shephard.

Last updated 2009-05-23. Update your information in the RePEc Author Service.

Short-id: psh10

Working Papers

2009

1. Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations
   Economics Series Working Papers, University of Oxford, Department of Economics (2008)
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) View citations
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations

2008

2. Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008)
3. Fitting vast dimensional time-varying covariance models
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008)
4. Measuring downside risk - realised semivariance
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2008)
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2008)
   OFRC Working Papers Series, Oxford Financial Research Centre (2008)
5. Modelling and measuring volatility
   OFRC Working Papers Series, Oxford Financial Research Centre
6. Stochastic Volatility: Origins and Overview
   Economics Series Working Papers, University of Oxford, Department of Economics View citations
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations
   OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations
7. The ACR model: a multivariate dynamic mixture autoregression
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2006

8. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
   OFRC Working Papers Series, Oxford Financial Research Centre View citations
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2006) View citations
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) View citations
   See also Journal Article in Econometrica (2008)
9. Subsampling realised kernels
   OFRC Working Papers Series, Oxford Financial Research Centre View citations
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2006) View citations
   Economics Papers, Economics Group, Nuffield College, University of Oxford (2006) View citations

2005

10. Limit theorems for bipower variation in financial econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations
    See also Journal Article in Econometric Theory (2006)
11. Limit theorems for multipower variation in the presence of jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005)
12. Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
13. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Centre de Recherche en Economie et Statistique
14. Variation, jumps, market frictions and high frequency data in financial econometrics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations
    Economics Series Working Papers, University of Oxford, Department of Economics (2005)

2004

15. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations
16. A Feasible Central Limit Theory for Realised Volatility Under Leverage
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations
17. Econometrics of testing for jumps in financial economics using bipower variationÂ
    OFRC Working Papers Series, Oxford Financial Research Centre View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations
    See also Journal Article in Journal of Financial Econometrics (2006)
18. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2004) View citations
19. Likelihood based inference for diffusion driven models
    OFRC Working Papers Series, Oxford Financial Research Centre
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004)
20. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre View citations
    Also in FMG Discussion Papers, Financial Markets Group (2003) View citations
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2002)
    See also Journal Article in Econometrica (2004)
21. Multipower Variation and Stochastic Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004)
22. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
    OFRC Working Papers Series, Oxford Financial Research Centre View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations
23. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004)

2003

24. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Journal of Econometrics (2006)
25. Power and bipower variation with stochastic volatility and jumps
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
26. Power variation & stochastic volatility: a review and some new results
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2002

27. Autoregressive conditional root model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
28. Dynamics of trade-by-trade price movements: decomposition and models
    OFRC Working Papers Series, Oxford Financial Research Centre View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2002) View citations
    See also Journal Article in Journal of Financial Econometrics (2003)
29. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2002) View citations
30. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
31. Power Variation and Time Change
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
32. Testing the Assumptions Behind the Use of Importance Sampling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2001

33. Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
34. Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations
    See also Journal Article in Journal Of The Royal Statistical Society Series B (2002)
35. Estimating quadratic variation using realised volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
36. Higher order variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
37. How accurate is the asymptotic approximation to the distribution of realised volatility?
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
38. Integrated OU Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
39. Normal Modified Stable Processes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations
40. Realised power variation and stochastic volatility models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
41. Some recent developments in stochastic volatility modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2000

42. BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
43. Likelihood inference for discretely observed non-linear diffusions
    OFRC Working Papers Series, Oxford Financial Research Centre View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1998) View citations
    See also Journal Article in Econometrica (2001)
44. Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics
    Economics Papers, Economics Group, Nuffield College, University of Oxford
45. Non-Gaussian OU based models and some of their uses in financial economics
    OFRC Working Papers Series, Oxford Financial Research Centre View citations

1998

46. Aggregation and Model Construction for Volatility Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
47. Statistical algorithms for models in state space using ssfpack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research View citations
    See also Journal Article in Econometrics Journal (1999)

1996

48. Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
49. STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
    Econometrics, EconWPA View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1994) View citations
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Review of Economic Studies (1998)

1995

50. Generalized linear autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
51. Likelihood Analysis of Non-Gaussian Parameter-Driven Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1995)

Undated

52. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
53. Filtering via simulation: auxiliary particle filters
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
54. The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model
    Economics Papers, Economics Group, Nuffield College, University of Oxford

Journal Articles

2009

1. Testing the assumptions behind importance sampling
   Journal of Econometrics, 2009, 149, (1), 2-11

2008

2. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
   Econometrica, 2008, 76, (6), 1481-1536 View citations
   See also Working Paper (2006)
3. The ACR Model: A Multivariate Dynamic Mixture Autoregression
   Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations
   See also Working Paper (2008)

2007

4. Stochastic volatility with leverage: Fast and efficient likelihood inference
   Journal of Econometrics, 2007, 140, (2), 425-449 View citations

2006

5. Analysis of high dimensional multivariate stochastic volatility models
   Journal of Econometrics, 2006, 134, (2), 341-371 View citations
6. Comment
   Journal of Business & Economic Statistics, 2006, 24, 179-181
7. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
   Journal of Financial Econometrics, 2006, 4, (1), 1-30 View citations
   See also Working Paper (2004)
8. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
   Journal of Econometrics, 2006, 131, (1-2), 217-252 View citations
   See also Working Paper (2003)
9. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
   Econometric Theory, 2006, 22, (04), 677-719 View citations
   See also Working Paper (2005)

2004

10. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
    Econometrica, 2004, 72, (3), 885-925 View citations
11. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations
    See also Working Paper (2004)

2003

12. Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
    Journal of Financial Econometrics, 2003, 1, (1), 2-25 View citations
    See also Working Paper (2002)
13. Likelihood analysis of a first-order autoregressive model with exponential innovations
    Journal of Time Series Analysis, 2003, 24, (3), 337-344 View citations

2002

14. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
    Journal Of The Royal Statistical Society Series B, 2002, 64, (2), 253-280 View citations
    See also Working Paper (2001)
15. Estimating quadratic variation using realized variance
    Journal of Applied Econometrics, 2002, 17, (5), 457-477 View citations
16. Markov chain Monte Carlo methods for stochastic volatility models
    Journal of Econometrics, 2002, 108, (2), 281-316 View citations
17. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 325-27 View citations

2001

18. Likelihood Inference for Discretely Observed Nonlinear Diffusions
    Econometrica, 2001, 69, (4), 959-93 View citations
    See also Working Paper (2000)
19. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
    Journal Of The Royal Statistical Society Series B, 2001, 63, (2), 167-241 View citations

1999

20. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations
    See also Working Paper (1998)

1998

21. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
22. Simulation-based likelihood inference for limited dependent processes
    Econometrics Journal, 1998, 1, (ConferenceIssue), C174-C202 View citations
23. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
    Review of Economic Studies, 1998, 65, (3), 361-93 View citations
    See also Working Paper (1996)

1997

24. Detecting shocks: Outliers and breaks in time series
    Journal of Econometrics, 1997, 80, (2), 387-422 View citations

1996

25. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
    Journal of Business & Economic Statistics, 1996, 14, (4), 429-34 View citations

1994

26. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 406-10
27. Local scale models: State space alternative to integrated GARCH processes
    Journal of Econometrics, 1994, 60, (1-2), 181-202 View citations
28. Multivariate Stochastic Variance Models
    Review of Economic Studies, 1994, 61, (2), 247-64 View citations

1993

29. Distribution of the ML Estimator of an MA(1) and a local level model
    Econometric Theory, 1993, 9, (03), 377-401
30. Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models
    Journal of Applied Econometrics, 1993, 8, (S), S135-52 View citations

1991

31. From Characteristic Function to Distribution Function: A Simple Framework for the Theory
    Econometric Theory, 1991, 7, (04), 519-529 View citations