Kevin Sheppard
Associate Professor in Financial Economics
I currently work at the University of Oxford as a Financial Econometrician. My research focuses on volatility and uncertainty. Measuring and modeling conditional correlation, a key input into portfolio risk models is a cornerstone of my research.
I have produced a large volume of teaching resources, including a complete set of notes in Financial Econometrics, and introductions to both Python and MATLAB. I also maintain a number of widely used toolboxes related to my research. The most broadly used of these are the MFE Toolbox for MATLAB, and the arch (documentation, ) and linearmodels (documentation, ) modules for Python. See my GitHub page for a complete list of projects.
I enjoy hiking and being outdoors, although I don't get out as much as I would like. I have a sweet but rambunctious chocolate labrador, Callie.
