Neil Shephard

Global rank #2654 97%

Institution: Harvard University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.people.fas.harvard.edu/~shephard/

First Publication: 1991

Most Recent: 2019

RePEc ID: psh10 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	Total
Last 5 Years	0.00	0.00	0.00	0.00
Last 10 Years	0.00	1.68	1.51	4.86
All Time	1.34	10.22	8.38	34.18

Publication Statistics

Raw Publications 23

Coauthorship-Adjusted Count 20.03

Publications (23)

Year	Article	Journal	Tier	Authors
2019	Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates	Oxford Bulletin of Economics and Statistics	B	4
2017	Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading	Journal of Econometrics	A	2
2017	Continuous Time Analysis of Fleeting Discrete Price Moves	Journal of the American Statistical Association	B	2
2016	Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice	Journal of Business & Economic Statistics	A	3
2014	Multivariate rotated ARCH models	Journal of Econometrics	A	3
2012	Multivariate high‐frequency‐based volatility (HEAVY) models	Journal of Applied Econometrics	B	3
2011	Subsampling realised kernels	Journal of Econometrics	A	4
2011	Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading	Journal of Econometrics	A	4
2011	BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS	Econometric Theory	B	2
2011	Realized Volatility	Journal of Econometrics	A	3
2009	Testing the assumptions behind importance sampling	Journal of Econometrics	A	3
2008	The ACR Model: A Multivariate Dynamic Mixture Autoregression*	Oxford Bulletin of Economics and Statistics	B	3
2007	Stochastic volatility with leverage: Fast and efficient likelihood inference	Journal of Econometrics	A	4
2006	LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS	Econometric Theory	B	4
2006	Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes	Journal of Econometrics	A	2
2006	Analysis of high dimensional multivariate stochastic volatility models	Journal of Econometrics	A	3
2002	Markov chain Monte Carlo methods for stochastic volatility models	Journal of Econometrics	A	3
1998	Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models	Review of Economic Studies	S	3
1997	Detecting shocks: Outliers and breaks in time series	Journal of Econometrics	A	3
1994	Multivariate Stochastic Variance Models	Review of Economic Studies	S	3
1994	Local scale models : State space alternative to integrated GARCH processes	Journal of Econometrics	A	1
1993	Distribution of the ML Estimator of an MA(1) and a local level model	Econometric Theory	B	1
1991	From Characteristic Function to Distribution Function: A Simple Framework for the Theory	Econometric Theory	B	1