Neil Shephard
Encyclopedia
Neil Shephard FBA
, is a British
economist, currently Professor of Economics
at the University of Oxford
. He is also a Professorial Fellow of Nuffield College, Oxford
and member of the Oxford-Man Institute
.
His work is predominantly on time series econometrics
and financial econometrics. He has also written a white paper on university funding which has received some recent attention in the UK.
He studied economics and statistics as an undergraduate at York University
graduating in 1986 and did his M.Sc. and Ph.D. (awarded in 1990) at the LSE
where he was a faculty lecturer from 1988 to 1993. He moved to Nuffield College, Oxford
in 1991, originally as the Gatsby Research Fellow in Econometrics. He became an Official Fellow in Economics in 1993, a position he held until 2006 when he was appointed to a statutory professorship in economics at Oxford University. He was Director of the Oxford Financial Research Centre from 2006 to 2007 and with Colin Mayer (Saïd Business School
, Oxford) founded Oxford University's Masters in Financial Economics (MFE). In 2007 he founded the Oxford-Man Institute
, which he directed from 2007 to 2011.
He was elected a Fellow of the British Academy
in 2006, a Fellow of the Econometric Society
in 2004 and a Fellow of Nuffield College, Oxford
in 1991. He was awarded an honourary doctorate by Aarhus University in 2009.
His most well known contributions are: (i) the formalisation of the econometrics of realized volatility
, which nonparametrically estimates the volatility of asset prices, (ii) the introduction of the auxiliary particle filter, (iii) the nonparametric identification of jumps in financial economics, through multipower variation, (iv) the development of realized kernels, which extends realized volatility to nonparametrically deal with market microstructure effects
Edited volumes
British Academy
The British Academy is the United Kingdom's national body for the humanities and the social sciences. Its purpose is to inspire, recognise and support excellence in the humanities and social sciences, throughout the UK and internationally, and to champion their role and value.It receives an annual...
, is a British
United Kingdom
The United Kingdom of Great Britain and Northern IrelandIn the United Kingdom and Dependencies, other languages have been officially recognised as legitimate autochthonous languages under the European Charter for Regional or Minority Languages...
economist, currently Professor of Economics
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...
at the University of Oxford
University of Oxford
The University of Oxford is a university located in Oxford, United Kingdom. It is the second-oldest surviving university in the world and the oldest in the English-speaking world. Although its exact date of foundation is unclear, there is evidence of teaching as far back as 1096...
. He is also a Professorial Fellow of Nuffield College, Oxford
Nuffield College, Oxford
Nuffield College is one of the constituent colleges of the University of Oxford in England. It is an all-graduate college and primarily a research establishment, specialising in the social sciences, particularly economics, politics and sociology. It is a research centre in the social sciences...
and member of the Oxford-Man Institute
Oxford-Man Institute
The Oxford-Man Institute of Quantitative Finance is an interdisciplinary research institute of the University of Oxford, England. Founded in June 2007, it brings together faculty, post-docs and students throughout the University who are interested in quantitative analysis of finance problems.The...
.
His work is predominantly on time series econometrics
Econometrics
Econometrics has been defined as "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that aims to give empirical content to economic relations." More precisely, it is "the quantitative analysis of actual economic phenomena based on...
and financial econometrics. He has also written a white paper on university funding which has received some recent attention in the UK.
He studied economics and statistics as an undergraduate at York University
York University
York University is a public research university in Toronto, Ontario, Canada. It is Canada's third-largest university, Ontario's second-largest graduate school, and Canada's leading interdisciplinary university....
graduating in 1986 and did his M.Sc. and Ph.D. (awarded in 1990) at the LSE
London School of Economics
The London School of Economics and Political Science is a public research university specialised in the social sciences located in London, United Kingdom, and a constituent college of the federal University of London...
where he was a faculty lecturer from 1988 to 1993. He moved to Nuffield College, Oxford
Nuffield College, Oxford
Nuffield College is one of the constituent colleges of the University of Oxford in England. It is an all-graduate college and primarily a research establishment, specialising in the social sciences, particularly economics, politics and sociology. It is a research centre in the social sciences...
in 1991, originally as the Gatsby Research Fellow in Econometrics. He became an Official Fellow in Economics in 1993, a position he held until 2006 when he was appointed to a statutory professorship in economics at Oxford University. He was Director of the Oxford Financial Research Centre from 2006 to 2007 and with Colin Mayer (Saïd Business School
Saïd Business School
Saïd Business School is the business school of the University of Oxford in England, located on the north side of Frideswide Square on the former site of Oxford Rewley Road railway station. It is the University's centre of learning for graduate and undergraduate students in business, management...
, Oxford) founded Oxford University's Masters in Financial Economics (MFE). In 2007 he founded the Oxford-Man Institute
Oxford-Man Institute
The Oxford-Man Institute of Quantitative Finance is an interdisciplinary research institute of the University of Oxford, England. Founded in June 2007, it brings together faculty, post-docs and students throughout the University who are interested in quantitative analysis of finance problems.The...
, which he directed from 2007 to 2011.
He was elected a Fellow of the British Academy
British Academy
The British Academy is the United Kingdom's national body for the humanities and the social sciences. Its purpose is to inspire, recognise and support excellence in the humanities and social sciences, throughout the UK and internationally, and to champion their role and value.It receives an annual...
in 2006, a Fellow of the Econometric Society
Econometric Society
The Econometric Society is an international society for the advancement of economic theory in its relation with statistics and mathematics. It was founded on December 29, 1930 at the Stalton Hotel in Cleveland, Ohio....
in 2004 and a Fellow of Nuffield College, Oxford
Nuffield College, Oxford
Nuffield College is one of the constituent colleges of the University of Oxford in England. It is an all-graduate college and primarily a research establishment, specialising in the social sciences, particularly economics, politics and sociology. It is a research centre in the social sciences...
in 1991. He was awarded an honourary doctorate by Aarhus University in 2009.
His most well known contributions are: (i) the formalisation of the econometrics of realized volatility
Volatility (finance)
In finance, volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past market prices...
, which nonparametrically estimates the volatility of asset prices, (ii) the introduction of the auxiliary particle filter, (iii) the nonparametric identification of jumps in financial economics, through multipower variation, (iv) the development of realized kernels, which extends realized volatility to nonparametrically deal with market microstructure effects
Publications
Representative articles- Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481-1536
- G. Fiorentini, Enrique Sentana and Neil Shephard (2004) Likelihood-based estimation of latent generalised ARCH structures, Econometrica, 2004, 72, 1481–1517.
- Ole E. Barndorff-Nielsen and Neil Shephard (2004) Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics, Econometrica, 72, 885–925.
- Ole E. Barndorff-Nielsen and Neil Shephard (2004) Power and bipower variation with stochastic volatility and jumps (with discussion) Journal of Financial Econometrics, 2004, 2, 1–48.
- Ole E. Barndorff-Nielsen and Neil Shephard (2002) Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical SocietyJournal of the Royal Statistical SocietyThe Journal of the Royal Statistical Society is a series of three peer-reviewed statistics journals published by Blackwell Publishing for the London-based Royal Statistical Society.- History :...
, Series B, 63, 2002, 253–280. - Ola Elerian, Siddhartha Chib and Neil Shephard (2001) Likelihood inference for discretely observed non-linear diffusions, Econometrica, 69, 2001, 959–993.
- Ole E. Barndorff-Nielsen and Neil Shephard (2001) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics, (with discussion), Journal of the Royal Statistical Society, Series B, 63, 2001, 167–241.
- Michael K. Pitt and Neil Shephard (1999) Filtering via simulation: auxiliary particle filter, Journal of the American Statistical Association, 94, 1999, 590–599.
- Sangjoon Kim, Siddhartha Chib and Neil Shephard (1998) Stochastic volatility: likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 1998, 361–393.
- Andrew C. Harvey, Esther Ruiz and Neil Shephard (1994) Multivariate stochastic variance models, Review of Economic Studies 61, 1994, 247–264.
Edited volumes
- Jennifer L Castle and Neil Shephard (2009) The Methodology and Practice of Econometrics: a Festschrift in Honour of David F. Hendry, edited volume, Oxford University PressOxford University PressOxford University Press is the largest university press in the world. It is a department of the University of Oxford and is governed by a group of 15 academics appointed by the Vice-Chancellor known as the Delegates of the Press. They are headed by the Secretary to the Delegates, who serves as...
. - Neil Shephard (2005) Stochastic Volatility: Selected Readings, edited volume, Oxford University PressOxford University PressOxford University Press is the largest university press in the world. It is a department of the University of Oxford and is governed by a group of 15 academics appointed by the Vice-Chancellor known as the Delegates of the Press. They are headed by the Secretary to the Delegates, who serves as...
. - Andrew C. Harvey, Siem Jan Koopman and Neil Shephard (2004) State Space and Unobserved Component Models: Theory and Applications, edited volume, Cambridge University PressCambridge University PressCambridge University Press is the publishing business of the University of Cambridge. Granted letters patent by Henry VIII in 1534, it is the world's oldest publishing house, and the second largest university press in the world...
. A Festschrift in Honour of Jim Durbin