# Neil Shephard

### Contents:

## Personal Details

First Name: | Neil |

Middle Name: | |

Last Name: | Shephard |

Suffix: | |

RePEc Short-ID: | psh10 |

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

http://www.economics.harvard.edu/

: 617-495-2144

617-495-7730

Littauer Center, Cambridge, MA 02138

RePEc:edi:deharus (more details at EDIRC)

This author is featured on the following reading lists, publication compilations or Wikipedia entries:

- Neil Shephard in Wikipedia (German)

- Neil Shephard, 2013.
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**Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality**," Economics Papers 2013-W06, Economics Group, Nuffield College, University of Oxford. - Neil Shephard, 2013.
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**The actual financing costs of English higher education student loans**," Economics Series Working Papers 2013-W06, University of Oxford, Department of Economics. - Neil Shephard, 2013.
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**Martingale unobserved component models**," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.- Neil Shephard, 2013.
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**Martingale unobserved component models**," Economics Series Working Papers 644, University of Oxford, Department of Economics.

- Neil Shephard, 2013.
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- Arnaud Doucet & Neil Shephard, 2012.
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**Robust inference on parameters via particle filters and sandwich covariance matrices**," Economics Papers 2012-W05, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Arnaud Doucet, 2012.
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**Robust inference on parameters via particle filters and sandwich covariance matrices**," Economics Series Working Papers 606, University of Oxford, Department of Economics.

- Neil Shephard & Arnaud Doucet, 2012.
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- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
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**Multivariate Rotated ARCH Models**," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
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**Multivariate Rotated ARCH models**," Economics Series Working Papers 594, University of Oxford, Department of Economics.

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
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- Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012.
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**Efficient and feasible inference for the components of financial variation using blocked multipower variation**," Economics Papers 2012-W02, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Kevin Sheppard, 2012.
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**Efficient and feasible inference for the components of financial variation using blocked multipower variation**," Economics Series Working Papers 593, University of Oxford, Department of Economics.

- Neil Shephard & Kevin Sheppard, 2012.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2012.
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**Basics of Levy processes**," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Ole E. Barndorff-Nielsen, 2012.
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**Basics of Levy processes**," Economics Series Working Papers 610, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2012.
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- Neil Shephard & Dacheng Xiu, 2012.
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**Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices**," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Dacheng Xiu, 2012.
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**Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices**," Economics Series Working Papers 604, University of Oxford, Department of Economics.

- Neil Shephard & Dacheng Xiu, 2012.
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- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011.
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**Multivariate High-Frequency-Based Volatility (HEAVY) Models**," Economics Papers 2011-W01, Economics Group, Nuffield College, University of Oxford.- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
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**Multivariate high‐frequency‐based volatility (HEAVY) models**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, 09.

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011.
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**Multivariate High-Frequency-Based Volatility (HEAVY) Models**," Economics Series Working Papers 533, University of Oxford, Department of Economics.

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
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- Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen, 2010.
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**Discrete-valued Levy processes and low latency financial econometrics**," Economics Series Working Papers 490, University of Oxford, Department of Economics.- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
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**Discrete-valued Levy processes and low latency financial econometrics**," Economics Papers 2010-W04, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
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- Neil Shephard, 2010.
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**Submission to the review on “Higher Education Funding and Student Finance”**," Economics Papers 2010-W01, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
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**Integer-valued Lévy processes and low latency financial econometrics**," CREATES Research Papers 2010-66, Department of Economics and Business Economics, Aarhus University.- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012.
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**Integer-valued Lévy processes and low latency financial econometrics**," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.

- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012.
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- Neil Shephard, 2010.
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**Deferred fees for universities**," Economics Series Working Papers 2010-W03, University of Oxford, Department of Economics. - Neil Shephard, 2010.
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**Submission to the review on "Higher Education Funding and Student Finance"**," Economics Series Working Papers 2010-W01, University of Oxford, Department of Economics. - Neil Shephard, 2010.
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**Deferred fees for universities**," Economics Papers 2010-W03, Economics Group, Nuffield College, University of Oxford.- Neil Shephard, 2010.
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**Deferred Fees For Universities**," Economic Affairs, Wiley Blackwell, vol. 30(2), pages 40-44, 06.

- Neil Shephard, 2010.
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- Neil Shephard & Kevin Sheppard, 2009.
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**Realising the future: forecasting with high frequency based volatility (HEAVY) models**," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Kevin Sheppard, 2010.
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**Realising the future: forecasting with high-frequency-based volatility (HEAVY) models**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.

- Neil Shephard & Kevin Sheppard, 2009.
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**Realising the future: forecasting with high frequency based volatility (HEAVY) models**," Economics Series Working Papers 438, University of Oxford, Department of Economics. - Neil Shephard & Kevin Sheppard, 2009.
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**Realising the future: forecasting with high frequency based volatility (HEAVY) models**," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.

- Neil Shephard & Kevin Sheppard, 2010.
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- Neil Shephard, 2009.
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**Income contingent tuition fees for universities**," Economics Series Working Papers 454, University of Oxford, Department of Economics.- Neil Shephard, 2009.
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**Income contingent tuition fees for universities**," Economics Papers 2009-W13, Economics Group, Nuffield College, University of Oxford. - Neil Shephard, 2009.
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**Income contingent tuition fees for universities**," OFRC Working Papers Series 2009fe04, Oxford Financial Research Centre.

- Neil Shephard, 2009.
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- Neil Shephard & Kevin Sheppard, 2009.
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**Nuisance parameters, composite likelihoods and a panel of GARCH models**," Economics Series Working Papers 458, University of Oxford, Department of Economics.- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009.
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**Nuisance parameters, composite likelihoods and a panel of GARCH models**," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre. - Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009.
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**Nuisance parameters, composite likelihoods and a panel of GARCH models**," Economics Papers 2009-W12, Economics Group, Nuffield College, University of Oxford.

- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009.
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- Neil Shephard & Thomas Flury, 2009.
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**Learning and filtering via simulation: smoothly jittered particle filters**," Economics Series Working Papers 469, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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**Measuring downside risk — realised semivariance**," CREATES Research Papers 2008-42, Department of Economics and Business Economics, Aarhus University.- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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**Measuring downside risk-realised semivariance**," Economics Papers 2008-W02, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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**Measuring downside risk - realised semivariance**," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
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- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008.
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**Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Economics Series Working Papers 397, University of Oxford, Department of Economics.- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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**Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
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**Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011.
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**Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Post-Print hal-00815564, HAL. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
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**Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009.
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**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 gd08-037, Institute of Economic Research, Hitotsubashi University. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
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- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
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**Fitting vast dimensional time-varying covariance models**," Economics Series Working Papers 403, University of Oxford, Department of Economics.- Robert Engle & Neil Shephard & Kevin Shepphard, 2008.
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**Fitting vast dimensional time-varying covariance models**," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.

- Robert Engle & Neil Shephard & Kevin Shepphard, 2008.
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- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
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**The ACR model: a multivariate dynamic mixture autoregression**," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
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**The ACR Model: A Multivariate Dynamic Mixture Autoregression**," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.

- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2008.
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**Modelling and measuring volatility**," Economics Series Working Papers 2008--FE-31, University of Oxford, Department of Economics. - Neil Shephard & Torben G. Andersen, 2008.
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**Stochastic Volatility: Origins and Overview**," OFRC Working Papers Series 2008fe23, Oxford Financial Research Centre.- Neil Shephard & Torben G. Andersen, 2008.
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**Stochastic Volatility: Origins and Overview**," Economics Series Working Papers 389, University of Oxford, Department of Economics. - Neil Shephard & Torben Andersen, 2008.
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**Stochastic Volatility: Origins and Overview**," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard & Torben G. Andersen, 2008.
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- Neil Shephard & Thomas Flury, 2008.
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**Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models**," Economics Series Working Papers 413, University of Oxford, Department of Economics. - Thomas Flury & Neil Shephard, 2008.
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**Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models**," OFRC Working Papers Series 2008fe32, Oxford Financial Research Centre.- Flury, Thomas & Shephard, Neil, 2011.
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**Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models**," Econometric Theory, Cambridge University Press, vol. 27(05), pages 933-956, October.

- Flury, Thomas & Shephard, Neil, 2011.
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- Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008.
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**Measuring downside risk - realised semivariance**," Economics Series Working Papers 382, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2008.
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**Modelling and measuring volatility**," OFRC Working Papers Series 2008fe31, Oxford Financial Research Centre. - Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
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**Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise**," Economics Series Working Papers 2006-W03, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
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**Subsampling realised kernels**," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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**Subsampling realised kernels**," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
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**Subsampling realised kernels**," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
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**Subsampling realised kernels**," Economics Series Working Papers 278, University of Oxford, Department of Economics.

- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
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- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise**," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
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**Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise**," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.

- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006.
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**Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise**," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
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- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
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**Limit theorems for bipower variation in financial econometrics**," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
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**Limit Theorems For Bipower Variation In Financial Econometrics**," Econometric Theory, Cambridge University Press, vol. 22(04), pages 677-719, August.

- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
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**Limit theorems for bipower variation in financial econometrics**," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.

- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
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- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
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**Limit theorems for multipower variation in the presence of jumps**," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford.- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
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**Limit theorems for multipower variation in the presence of jumps**," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 796-806, May.

- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
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**Limit theorems for multipower variation in the presence of jumps**," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre.

- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2005.
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**Variation, jumps, market frictions and high frequency data in financial econometrics**," Economics Series Working Papers 240, University of Oxford, Department of Economics.- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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**Variation, jumps, market frictions and high frequency data in financial econometrics**," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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**Variation, jumps, market frictions and high frequency data in financial econometrics**," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
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- Frédérique Bec & Anders Rahbek & Neil Shephard, 2005.
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**The Autoregressive Conditional Root (ACR) Model**," Working Papers 2005-26, Centre de Recherche en Economie et Statistique. - Neil Shephard, 2005.
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**Stochastic Volatility**," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. - Neil Shephard, 2005.
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**Limit theorems for bipower variation in financial econometrics**," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics. - Neil Shephard, 2005.
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**Stochastic volatility**," Economics Series Working Papers 2005-W17, University of Oxford, Department of Economics. - Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen, 2005.
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**Limit theorems for multipower variation in the presence of jumps**," Economics Series Working Papers 2005-FE-06, University of Oxford, Department of Economics. - Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
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**Likelihood based inference for diffusion driven models**," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
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**Likelihood based inference for diffusion driven models**," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre.

- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
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- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
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**Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise**," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
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**Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise**," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
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- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
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**Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )**," CARF F-Series CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Charles S. Bos & Neil Shephard, 2004.
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**Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form**," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.- Charles Bos & Neil Shephard, 2006.
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**Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form**," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.

- Charles S. Bos & Neil Shephard, 2004.
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**Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form**," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.

- Charles Bos & Neil Shephard, 2006.
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2004.
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**Multipower Variation and Stochastic Volatility**," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics. - Neil Shephard & Yashurio Omori, 2004.
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**Stochastic volatility with leverage: fast likelihood inference**," Economics Series Working Papers 2004-FE-16, University of Oxford, Department of Economics. - Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004.
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**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.- Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004.
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**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre. - Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004.
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**A central limit theorem for realised power and bipower variations of continuous semimartingales**," Technical Reports 2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

- Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004.
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- Ole Barndorff-Nielsen & Neil Shephard, 2004.
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**Multipower Variation and Stochastic Volatility**," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**Multipower Variation and Stochastic Volatility**," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
- Neil Shephard, 2004.
"
**Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise**," Economics Series Working Papers 2004-FE-20, University of Oxford, Department of Economics. - Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
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**Stochastic Volatility with Leverage: Fast Likelihood Inference**," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
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**Stochastic volatility with leverage: fast likelihood inference**," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.

- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
"
- Neil Shephard & Siddhartha Chib, 2004.
"
**Likelihood based inference for diffusion driven models**," Economics Series Working Papers 2004-FE-17, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**A Feasible Central Limit Theory for Realised Volatility Under Leverage**," Economics Papers 2004-W03, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**A feasible central limit theory for realised volatility under leverage**," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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- Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004.
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**Parallel Computation in Econometrics: A Simplified Approach**," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Charles S. Bos, 2004.
"
**Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form**," Economics Series Working Papers 2004-W02, University of Oxford, Department of Economics. - Neil Shephard, 2004.
"
**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," Economics Series Working Papers 2004-FE-21, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
**Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes**," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
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**Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes**," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.

- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
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**Power and bipower variation with stochastic volatility and jumps**," Economics Series Working Papers 2003-W18, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
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**Power variation and stochastic volatility: a review and some new results**," Economics Series Working Papers 2003-W19, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
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**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
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**Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
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**Econometrics of testing for jumps in financial economics using bipower variationÂ**," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"
- Neil Shephard & Ole Barndorff-Nielsen, 2003.
"
**A feasible central limit theory for realised volatility under leverage**," Economics Series Working Papers 2004-FE-03, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003.
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**Power variation & stochastic volatility: a review and some new results**," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Ole Barndorff-Nielsen, 2003.
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**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics. - David Hendry & Neil Shephard & Jurgen Doornik, 2003.
"
**Parallel Computation In Econometrics: A Simplified Approach**," Economics Series Working Papers 2004-W16, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
**Power and bipower variation with stochastic volatility and jumps**," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen, 2004.
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**Power and Bipower Variation with Stochastic Volatility and Jumps**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.

- Ole E. Barndorff-Nielsen, 2004.
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- Neil Shephard & Enrique Sentana, 2003.
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**Likelihood-based estimation of latent generalised ARCH**," Economics Series Working Papers 2004-FE-02, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
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**Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes**," Economics Series Working Papers 2003-W12, University of Oxford, Department of Economics. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002.
"
**Likelihood-based estimation of latent generalised ARCH structures**," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
**Likelihood-Based Estimation of Latent Generalized ARCH Structures**," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.

- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-Based Estimation Of Latent Generalised Arch Structures**," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). - Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," FMG Discussion Papers dp453, Financial Markets Group. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
**Likelihood-based estimation of latent generalised ARCH structures**," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.

- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
**Estimating quadratic variation using realised variance**," Economics Series Working Papers 2001-W20, University of Oxford, Department of Economics. - Tina Hviid Rydberg & Neil Shephard, 2002.
"
**Dynamics of trade-by-trade price movements: decomposition and models**," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford.- Tina Hviid Rydberg & Neil Shephard, 2003.
"
**Dynamics of Trade-by-Trade Price Movements: Decomposition and Models**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.

- Tina Hviid Rydberg & Neil Shephard, 2002.
"
**Dynamics of trade-by-trade price movements: decomposition and models**," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.

- Tina Hviid Rydberg & Neil Shephard, 2003.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
**Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics**," Economics Series Working Papers 2002-FE-03, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
**Realised power variation and stochastic volatility models**," Economics Series Working Papers 2001-W18, University of Oxford, Department of Economics. - Siem Jan Koopman & Neil Shephard, 2002.
"
**Testing the Assumptions Behind the Use of Importance Sampling**," Economics Papers 2002-W17, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002.
"
**Measuring and forecasting financial variability using realised variance with and without a model**," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Tina Hviid Rydberg, 2002.
"
**Dynamics of trade-by-trade price movements: decomposition and models**," Economics Series Working Papers 2002-FE-04, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
**How accurate is the asymptotic approximation to the distribution of realised variance**," Economics Series Working Papers 2001-W16, University of Oxford, Department of Economics. - Neil Shephard & Anders Rahbek, 2002.
"
**Autoregressive conditional root model**," Economics Series Working Papers 2002-W07, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
"
**Power Variation and Time Change**," Economics Papers 2002-W24, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Siem Jan Koopman, 2002.
"
**Testing the assumptions behind the use of importance sampling**," Economics Series Working Papers 2002-W17, University of Oxford, Department of Economics. - Neil Shephard & Gabriele Fiorentini Enrique Sentana, 2002.
"
**Likelihood-based estimation of latent generalised ARCH structures**," Economics Series Working Papers 2002-W19, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
**Power Variation and Time Change**," Economics Series Working Papers 2002-W24, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics**," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.- Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
"
**Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics**," OFRC Working Papers Series 2002fe03, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
"
**Integrated OU Processes and non-Gaussian OU-based stochastic volatility models**," Economics Series Working Papers 2001-W01, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Normal modified stable processes**," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
"
**Higher order variation and stochastic volatility models**," Economics Series Working Papers 2001-W08, University of Oxford, Department of Economics. - Anders Rahbek & Neil Shephard, 2001.
"
**Autoregressive conditional root model**," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Higher order variation and stochastic volatility models**," Economics Papers 2001-W8, Economics Group, Nuffield College, University of Oxford. - David Hendry & Neil Shephard & Jurgen Doornik, 2001.
"
**Computationally-intensive Econometrics using a Distributed Matrix-programming Language**," Economics Series Working Papers 2001-W22, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
"
**Some recent developments in stochastic volatility modelling**," Economics Series Working Papers 2001-W25, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001.
"
**Some recent developments in stochastic volatility modelling**," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"
**Some recent developments in stochastic volatility modelling**," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.

- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Integrated OU Processes**," Economics Papers 2001-W1, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**How accurate is the asymptotic approximation to the distribution of realised volatility?**," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford. - Siddhartha Chib & Neil Shephard, 2001.
"
**Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"**," Economics Papers 2001-W26, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Siddhartha Chib, 2001.
"
**Comment on Garland Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes**," Economics Series Working Papers 2001-W26, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Realised power variation and stochastic volatility models**," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Estimating quadratic variation using realised volatility**," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001. - Barndorff-Nielsen, O.E. & Shepard, N., 2000.
"
**Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics**," Economics Papers 1999-w9/2000-w3, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Ole E. Barndorff-Nielsen, 2000.
"
**Econometric analysis of realised volatility and its use in estimating Levy based non-Gaussian OU type stochastic volatility models**," Economics Series Working Papers 2000-W29, University of Oxford, Department of Economics. - Tina Hviid Rydberg & Neil Shephard, 2000.
"
**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 0740, Econometric Society. - Neil Shephard & Ole E. Barndorff-Nielsen, 2000.
"
**Modelling by Levy Processes for Financial Econometrics**," Economics Series Working Papers 2000-W03, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"
**Econometric analysis of realised volatility and its use in estimating stochastic volatility models**," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.- Ole E. Barndorff-Nielsen & Shephard, 2002.
"
**Econometric analysis of realized volatility and its use in estimating stochastic volatility models**," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.

- Ole E. Barndorff-Nielsen & Shephard, 2002.
"
- Ole Barndorff-Nielsen & Neil Shephard, 2000.
"
**Non-Gaussian OU based models and some of their uses in financial economics**," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre. - Neil Shephard & Ole E. Barndorff-Nielsen, 1999.
"
**Non-Gaussian OU Based Models and some of their use in Financial Economics**," Economics Series Working Papers 1999-W09, University of Oxford, Department of Economics. - Neil Shephard & Tina Hviid Rydberg, 1999.
"
**Modelling trade-by-trade price movements of multiple assets using multivariate compount Poisson processes**," Economics Series Working Papers 1999-W23, University of Oxford, Department of Economics. - Neil Shephard & Tina Hviid Rydberg, 1999.
"
**A modelling framework for the prices and times of trades made on the New York stock exchange**," Economics Series Working Papers 1999-W14, University of Oxford, Department of Economics. - Neil Shephard & Michael K. Pitt, 1999.
"
**Auxiliary variable based particle filters**," Economics Series Working Papers 1999-W13, University of Oxford, Department of Economics. - Neil Shephard & Siddhartha Chib, 1999.
"
**Analysis of High Dimensional Multivariate Stochastic Volatility Models**," Economics Series Working Papers 1999-W18, University of Oxford, Department of Economics. - Bent Nielsen & Neil Shephard, 1999.
"
**Likelihood Anlaysis of a First Order Autoregressive Model with Exponential Innovations**," Economics Series Working Papers 1999-W08, University of Oxford, Department of Economics. - Neil Shephard & Ola Elerian & Siddhartha Chib, 1998.
"
**Likelihood inference for discretely observed non-linear diffusions**," Economics Series Working Papers 1998-W10, University of Oxford, Department of Economics. - Barndorf-Nielsen, O.E. & Shephard, N., 1998.
"
**Aggregation and Model Construction for Volatility Models**," Economics Papers 141, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Ole E. Barndorff-Nielsen, 1998.
"
**Incorporation of a Leverage Effect in a Stochastic Volatility Model**," Economics Series Working Papers 1998-W14, University of Oxford, Department of Economics. - Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998.
"
**Statistical algorithms for models in state space using SsfPack 2.2**," Economics Series Working Papers 1998-W06, University of Oxford, Department of Economics. - Neil Shephard & Michael K Pitt, 1998.
"
**Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion**," Economics Series Working Papers 1998-W05, University of Oxford, Department of Economics. - Elerian, O. & Chib, S. & Shephard, N., 1998.
"
**Likelihood INference for Discretely Observed Non-linear Diffusions**," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"
**Likelihood Inference for Discretely Observed Nonlinear Diffusions**," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.

- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000.
"
**Likelihood inference for discretely observed non-linear diffusions**," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.

- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"
- Neil Shephard & Siddhartha Chib, 1998.
"
**Markov Chain Monte Carlo methods for Generalized Stochastic Volatility Models**," Economics Series Working Papers 1998-W21, University of Oxford, Department of Economics. - Neil Shephard & Ole E. Barndorff-Nielsen, 1998.
"
**Aggregation and model construction for volatility models**," Economics Series Working Papers 1998-W07, University of Oxford, Department of Economics. - Michael K Pitt & Neil Shephard, 1996.
"
**Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models**," Economics Papers 20 & 113, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Michael K Pitt, 1995.
"
**Likelihood analysis of non-Gaussian parameter driven models**," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford.- Shephard, N. & Pitt, M.K., 1995.
"
**Likelihood Analysis of Non-Gaussian Parameter-Driven Models**," Economics Papers 108, Economics Group, Nuffield College, University of Oxford.

- Shephard, N. & Pitt, M.K., 1995.
"
- Neil Shephard, 1995.
"
**Generalized linear autoregressions**," Economics Papers 8., Economics Group, Nuffield College, University of Oxford. - Sangjoon Kim & Neil Shephard, 1994.
"
**Stochastic volatility: likelihood inference and comparison with ARCH models**," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996.
"
**Stochastic Volatility: Likelihood Inference And Comparison With Arch Models**," Econometrics 9610002, EconWPA. - Sangjoon Kim, Neil Shephard & Siddhartha Chib, .
"
**Stochastic volatility: likelihood inference and comparison with ARCH models**," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.

- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996.
"
- Jurgen A. Doornik & David F. Hendry & Neil Shephard, .
"
**Computationally-intensive Econometrics using a Distributed Matrix-programming Language**," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford. - Michael K Pitt & Neil Shephard, .
"
**Filtering via simulation: auxiliary particle filters**," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford. - Neil Shephard, .
"
**The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model**," Economics Papers 1997-W6., Economics Group, Nuffield College, University of Oxford.

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
"
**Multivariate high‐frequency‐based volatility (HEAVY) models**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, 09.- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011.
"
**Multivariate High-Frequency-Based Volatility (HEAVY) Models**," Economics Papers 2011-W01, Economics Group, Nuffield College, University of Oxford. - Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011.
"
**Multivariate High-Frequency-Based Volatility (HEAVY) Models**," Economics Series Working Papers 533, University of Oxford, Department of Economics.

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011.
"
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012.
"
**Integer-valued Lévy processes and low latency financial econometrics**," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
"
**Integer-valued Lévy processes and low latency financial econometrics**," CREATES Research Papers 2010-66, Department of Economics and Business Economics, Aarhus University.

- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010.
"
- Flury, Thomas & Shephard, Neil, 2011.
"
**Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models**," Econometric Theory, Cambridge University Press, vol. 27(05), pages 933-956, October.- Thomas Flury & Neil Shephard, 2008.
"
**Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models**," OFRC Working Papers Series 2008fe32, Oxford Financial Research Centre.

- Thomas Flury & Neil Shephard, 2008.
"
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"
**Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009.
"
**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 gd08-037, Institute of Economic Research, Hitotsubashi University. - Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008.
"

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011.
"
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"
**Subsampling realised kernels**," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"
**Subsampling realised kernels**," Economics Series Working Papers 278, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Subsampling realised kernels**," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Subsampling realised kernels**," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"
- Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011.
"
**Realized Volatility**," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January. - Neil Shephard & Kevin Sheppard, 2010.
"
**Realising the future: forecasting with high-frequency-based volatility (HEAVY) models**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.- Neil Shephard & Kevin Sheppard, 2009.
"
**Realising the future: forecasting with high frequency based volatility (HEAVY) models**," Economics Series Working Papers 438, University of Oxford, Department of Economics. - Neil Shephard & Kevin Sheppard, 2009.
"
**Realising the future: forecasting with high frequency based volatility (HEAVY) models**," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Kevin Sheppard, 2009.
"
**Realising the future: forecasting with high frequency based volatility (HEAVY) models**," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.

- Neil Shephard & Kevin Sheppard, 2009.
"
- Neil Shephard, 2010.
"
**Deferred Fees For Universities**," Economic Affairs, Wiley Blackwell, vol. 30(2), pages 40-44, 06.- Neil Shephard, 2010.
"
**Deferred fees for universities**," Economics Papers 2010-W03, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard, 2010.
"
- Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009.
"
**Testing the assumptions behind importance sampling**," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April. - O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009.
"
**Realized kernels in practice: trades and quotes**," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C1-C32, November. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
**Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise**," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006.
"

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"
**The ACR Model: A Multivariate Dynamic Mixture Autoregression**," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"
**The ACR model: a multivariate dynamic mixture autoregression**," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"
- Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007.
"
**Stochastic volatility with leverage: Fast and efficient likelihood inference**," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October. - Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
"
**Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 179-181, April. - Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"
**Limit Theorems For Bipower Variation In Financial Econometrics**," Econometric Theory, Cambridge University Press, vol. 22(04), pages 677-719, August.- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"
**Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford. - Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
**Econometrics of testing for jumps in financial economics using bipower variationÂ**," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"

- Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006.
"
**Analysis of high dimensional multivariate stochastic volatility models**," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October. - Charles Bos & Neil Shephard, 2006.
"
**Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form**," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.- Charles S. Bos & Neil Shephard, 2004.
"
- Charles S. Bos & Neil Shephard, 2004.
"
**Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form**," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.

- Charles S. Bos & Neil Shephard, 2004.
"
- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
"
**Limit theorems for multipower variation in the presence of jumps**," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 796-806, May.- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
"
**Limit theorems for multipower variation in the presence of jumps**," OFRC Working Papers Series 2005fe06, Oxford Financial Research Centre. - Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
"
**Limit theorems for multipower variation in the presence of jumps**," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
**Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics**," Econometrica, Econometric Society, vol. 72(3), pages 885-925, 05. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
**Likelihood-Based Estimation of Latent Generalized ARCH Structures**," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-Based Estimation Of Latent Generalised Arch Structures**," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
**Likelihood-based estimation of latent generalised ARCH structures**," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. - Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," FMG Discussion Papers dp453, Financial Markets Group. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002.
"
**Likelihood-based estimation of latent generalised ARCH structures**," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.

- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
- Tina Hviid Rydberg & Neil Shephard, 2003.
"
**Dynamics of Trade-by-Trade Price Movements: Decomposition and Models**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.- Tina Hviid Rydberg & Neil Shephard, 2002.
"
**Dynamics of trade-by-trade price movements: decomposition and models**," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre. - Tina Hviid Rydberg & Neil Shephard, 2002.
"
**Dynamics of trade-by-trade price movements: decomposition and models**," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford.

- Tina Hviid Rydberg & Neil Shephard, 2002.
"
- B. Nielsen & N. Shephard, 2003.
"
**Likelihood analysis of a first-order autoregressive model with exponential innovations**," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 337-344, 05. - Ole E. Barndorff-Nielsen & Shephard, 2002.
"
**Econometric analysis of realized volatility and its use in estimating stochastic volatility models**," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"
**Econometric analysis of realised volatility and its use in estimating stochastic volatility models**," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
"
**Estimating quadratic variation using realized variance**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477. - Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"
**Some recent developments in stochastic volatility modelling**," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001.
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**Some recent developments in stochastic volatility modelling**," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001.
"
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002.
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**Markov chain Monte Carlo methods for stochastic volatility models**," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June. - Chib, Siddhartha & Shephard, Neil, 2002.
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**Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 325-27, July. - Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"
**Likelihood Inference for Discretely Observed Nonlinear Diffusions**," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000.
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**Likelihood inference for discretely observed non-linear diffusions**," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre. - Elerian, O. & Chib, S. & Shephard, N., 1998.
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**Likelihood INference for Discretely Observed Non-linear Diffusions**," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.

- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"
**Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics**," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241. - Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
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**Statistical algorithms for models in state space using SsfPack 2.2**," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998.
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**Statistical Algorithms for Models in State Space Using SsfPack 2.2**," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.

- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998.
"
- David F. Hendry & Neil Shephard, 1998.
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**Foreword by the Editors**," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages i-ii. - Aurora Manrique & Neil Shephard, 1998.
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**Simulation-based likelihood inference for limited dependent processes**," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C174-C202. - Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997.
"
**Detecting shocks: Outliers and breaks in time series**," Journal of Econometrics, Elsevier, vol. 80(2), pages 387-422, October. - Harvey, Andrew C & Shephard, Neil, 1996.
"
**Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns**," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-34, October. - Shephard, Neil, 1994.
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**Local scale models : State space alternative to integrated GARCH processes**," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 181-202. - Shephard, Neil & Kim, Sangjoon, 1994.
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**Bayesian Analysis of Stochastic Volatility Models: Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 406-10, October. - Shephard, Neil, 1993.
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**Distribution of the ML Estimator of an MA(1) and a local level model**," Econometric Theory, Cambridge University Press, vol. 9(03), pages 377-401, June. - Shephard, Neil, 1993.
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**Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S135-52, Suppl. De. - Shephard, Neil, 1992.
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**Tabulation of Farebrother's Test for Linear Restrictions**," Econometric Theory, Cambridge University Press, vol. 8(04), pages 583-584, December. - Shephard, N.G., 1991.
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**From Characteristic Function to Distribution Function: A Simple Framework for the Theory**," Econometric Theory, Cambridge University Press, vol. 7(04), pages 519-529, December.

- Harvey,Andrew & Koopman,Siem Jan & Shephard,Neil (ed.), 2012.
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**State Space and Unobserved Component Models**," Cambridge Books, Cambridge University Press, number 9781107407435, Junio. - Castle, Jennifer & Shephard, Neil (ed.), 2009.
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**The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry**," OUP Catalogue, Oxford University Press, number 9780199237197, December. - Shephard, Neil (ed.), 2005.
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**Stochastic Volatility: Selected Readings**," OUP Catalogue, Oxford University Press, number 9780199257201, December. - Harvey,Andrew & Koopman,Siem Jan & Shephard,Neil (ed.), 2004.
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**State Space and Unobserved Component Models**," Cambridge Books, Cambridge University Press, number 9780521835954, Junio.

- NEP-ECM:
**Econometrics**(64) 2001-08-15 2001-09-10 2001-10-16 2001-10-16 2001-10-16 2001-12-04 2001-12-19 2002-04-06 2002-05-03 2003-04-13 2003-06-09 2003-06-09 2004-01-25 2004-01-25 2004-01-25 2004-01-25 2004-01-25 2004-02-01 2004-03-03 2004-03-03 2004-07-17 2004-08-31 2004-09-30 2004-12-12 2004-12-12 2004-12-12 2004-12-12 2004-12-20 2004-12-20 2004-12-20 2005-07-03 2005-07-03 2005-07-03 2006-03-18 2006-03-18 2006-03-18 2006-04-01 2006-06-17 2006-08-26 2006-09-16 2008-03-15 2008-04-12 2008-07-20 2008-10-07 2008-11-11 2008-12-01 2008-12-07 2009-01-03 2009-04-18 2009-07-28 2009-10-24 2009-12-11 2009-12-11 2010-02-05 2010-09-25 2010-10-09 2011-03-05 2012-03-08 2012-03-08 2012-05-02 2012-06-25 2012-06-25 2012-06-25 2013-03-09. Author is listed - NEP-ETS:
**Econometric Time Series**(54) 2001-08-15 2001-09-10 2001-09-10 2001-10-16 2001-10-16 2001-10-16 2001-12-19 2001-12-19 2002-04-03 2002-05-03 2003-04-13 2003-06-04 2004-01-18 2004-01-18 2004-01-18 2004-01-25 2004-01-25 2004-02-01 2004-02-29 2004-02-29 2004-07-11 2004-08-31 2004-09-30 2004-12-12 2004-12-12 2004-12-12 2004-12-20 2004-12-20 2005-07-03 2006-03-18 2006-03-18 2006-03-18 2006-04-01 2006-04-01 2006-09-16 2006-10-14 2008-03-15 2008-03-25 2008-04-12 2008-07-20 2008-10-07 2008-10-13 2008-11-11 2008-12-07 2009-01-03 2009-04-18 2009-10-24 2009-12-11 2010-02-05 2010-10-09 2011-03-05 2012-03-08 2012-05-02 2013-03-09. Author is listed - NEP-MST:
**Market Microstructure**(17) 2006-06-17 2006-08-26 2006-09-16 2006-09-23 2006-10-14 2008-02-02 2008-02-16 2008-03-25 2008-09-05 2009-07-28 2009-07-28 2009-12-11 2010-10-09 2011-03-05 2012-03-08 2012-05-02 2012-06-25. Author is listed - NEP-FIN:
**Finance**(14) 2001-10-16 2004-01-18 2004-01-18 2004-01-18 2004-01-25 2004-02-01 2004-02-29 2004-08-31 2004-12-12 2004-12-12 2004-12-15 2004-12-15 2004-12-20 2004-12-22. Author is listed - NEP-RMG:
**Risk Management**(12) 2003-04-13 2004-01-18 2004-02-01 2004-08-31 2005-07-03 2006-04-01 2008-02-02 2008-02-16 2008-03-25 2008-09-05 2008-10-13 2011-03-05. Author is listed - NEP-ORE:
**Operations Research**(9) 2008-03-25 2008-10-07 2008-10-13 2008-12-01 2009-10-24 2012-05-02 2012-06-25 2012-06-25 2012-06-25. Author is listed - NEP-FMK:
**Financial Markets**(8) 2001-09-10 2004-02-01 2006-04-01 2006-04-01 2006-06-17 2006-08-26 2008-02-16 2012-03-08. Author is listed - NEP-FOR:
**Forecasting**(6) 2009-07-28 2009-12-11 2011-03-05 2013-03-09 2013-03-16 2013-06-30. Author is listed - NEP-CMP:
**Computational Economics**(5) 2001-12-14 2004-02-01 2004-07-11 2004-08-31 2010-02-05. Author is listed - NEP-EDU:
**Education**(5) 2009-10-10 2009-10-24 2009-12-11 2010-09-25 2013-06-09. Author is listed - NEP-IFN: International Finance (4) 2001-12-04 2002-04-03 2004-01-18 2004-01-25
- NEP-CBA: Central Banking (3) 2008-03-15 2008-12-01 2011-03-05
- NEP-LAB: Labour Economics (2) 2010-09-18 2010-09-25
- NEP-MAC: Macroeconomics (2) 2002-07-31 2008-12-07
- NEP-CFN: Corporate Finance (1) 2006-04-01
- NEP-DGE: Dynamic General Equilibrium (1) 2008-12-07
- NEP-HPE: History & Philosophy of Economics (1) 2008-03-25
- NEP-MIC: Microeconomics (1) 2002-04-03

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#### Most cited item

- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"
**Econometric analysis of realised volatility and its use in estimating stochastic volatility models**," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.

#### Most downloaded item (past 12 months)

- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"
**Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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