Neil Shephard
Ph.D., London School of Economics, FBA, Fellow of the Econometric Society
Professor of Economics
College or Institution: Nuffield College
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Research Interests
Summary: Econometrics, finance and statistics.
Professor Shephard's research mainly focuses on econometrics. In recent years he has developed a strong interest in financial econometrics, working with high frequency data to try to understand financial volatility, market microstructure and the role of jumps in financial markets.
Courses Taught at the University
Note: These web-links are only available within the University
Research Group(s)
Recent Working Papers
- Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices (2012)
- Efficient and feasible inference for the components of financial variation using blocked multipower variation (2012)
- Multivariate Rotated ARCH models (2012)
- Multivariate High-Frequency-Based Volatility (HEAVY) Models (2011)
- Discrete-valued Levy processes and low latency financial econometrics (2010)
- Deferred fees for universities (2010)
- Submission to the review on "Higher Education Funding and Student Finance" (2010)
- Nuisance parameters, composite likelihoods and a panel of GARCH models (2009)
- Income contingent tuition fees for universities (2009)
- Realising the future: forecasting with high frequency based volatility (HEAVY) models (2009)
- see more working papers by this author
Other Web Sites:
Category: Faculty