# 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.
"
**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.
"
**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.
"
**Martingale unobserved component models**," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.- Neil Shephard, 2013.
"
**Martingale unobserved component models**," Economics Series Working Papers 644, University of Oxford, Department of Economics.

- Neil Shephard, 2013.
"
- Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012.
"
**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.
"
**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.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2012.
"
**Basics of Levy processes**," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.- Neil Shephard & Ole E. Barndorff-Nielsen, 2012.
"
**Basics of Levy processes**," Economics Series Working Papers 610, University of Oxford, Department of Economics.

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

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
"
- 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, 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 Series Working Papers 533, University of Oxford, Department of Economics.

- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
"
- Neil Shephard, 2010.
"
**Submission to the review on “Higher Education Funding and Student Finance”**," Economics Papers 2010-W01, Economics Group, Nuffield College, University of Oxford.- Neil Shephard, 2010.
"
**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.
"
- 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, 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, 2012.
"
- Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen, 2010.
"
**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.
"
**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.
"
- Neil Shephard, 2010.
"
**Deferred fees for universities**," Economics Papers 2010-W03, Economics Group, Nuffield College, University of Oxford.- 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 Series Working Papers 2010-W03, University of Oxford, Department of Economics.

- Neil Shephard, 2010.
"
- Neil Shephard & Thomas Flury, 2009.
"
**Learning and filtering via simulation: smoothly jittered particle filters**," Economics Series Working Papers 469, University of Oxford, Department of Economics. - Neil Shephard, 2009.
"
**Income contingent tuition fees for universities**," Economics Series Working Papers 454, University of Oxford, Department of Economics.- Neil Shephard, 2009.
"
**Income contingent tuition fees for universities**," OFRC Working Papers Series 2009fe04, Oxford Financial Research Centre. - Neil Shephard, 2009.
"
**Income contingent tuition fees for universities**," Economics Papers 2009-W13, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard, 2009.
"
- Neil Shephard & Kevin Sheppard, 2009.
"
**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.
"
**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.
"
**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.
"
- 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, 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**," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre. - 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, 2010.
"
- 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.- 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.

- Neil Shephard & Thomas Flury, 2008.
"
**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.

- Flury, Thomas & Shephard, Neil, 2011.
"
- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
"
**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.
"
**Measuring downside risk-realised semivariance**," Economics Papers 2008-W02, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008.
"
**Measuring downside risk - realised semivariance**," Economics Series Working Papers 382, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
"
**Measuring downside risk - realised semivariance**," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.

- Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008.
"
- Neil Shephard & Torben G. Andersen, 2008.
"
**Stochastic Volatility: Origins and Overview**," OFRC Working Papers Series 2008fe23, Oxford Financial Research Centre.- Neil Shephard & Torben Andersen, 2008.
"
**Stochastic Volatility: Origins and Overview**," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford. - Neil Shephard & Torben G. Andersen, 2008.
"
**Stochastic Volatility: Origins and Overview**," Economics Series Working Papers 389, University of Oxford, Department of Economics.

- Neil Shephard & Torben Andersen, 2008.
"
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"
**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.
"
**Fitting vast dimensional time-varying covariance models**," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.

- Robert Engle & Neil Shephard & Kevin Shepphard, 2008.
"
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008.
"
**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.
"
**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.
"
**Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading**," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University. - 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. - Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
**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, 2008.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011.
"
**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.

- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"
- 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.
"
**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.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2008.
"
**Modelling and measuring volatility**," OFRC Working Papers Series 2008fe31, Oxford Financial Research Centre.- Neil Shephard & Ole E. Barndorff-Nielsen, 2008.
"
**Modelling and measuring volatility**," Economics Series Working Papers 2008--FE-31, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2008.
"
- 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.
"
**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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"
**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 Hansen & Asger Lunde & Neil Shephard, 2006.
"
**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.
"
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Subsampling realised kernels**," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.- 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.

- 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.
"
**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.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2005.
"
**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.
"
**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.
"
**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.
"
- 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.- 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.

- Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics. - 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.

- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2005.
"
**The Autoregressive Conditional Root (ACR) Model**," Working Papers 2005-26, Centre de Recherche en Economie et Statistique. - Neil Shephard, 2005.
"
**Stochastic Volatility**," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.- Neil Shephard, 2005.
"
**Stochastic volatility**," Economics Series Working Papers 2005-W17, University of Oxford, Department of Economics.

- Neil Shephard, 2005.
"
- 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.- 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. - Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen, 2005.
"
**Limit theorems for multipower variation in the presence of jumps**," Economics Series Working Papers 2005-FE-06, University of Oxford, Department of Economics.

- Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006.
"
- Ole Barndorff-Nielsen & Neil Shephard, 2004.
"
**Multipower Variation and Stochastic Volatility**," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford.- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
**Multipower Variation and Stochastic Volatility**," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre. - Neil Shephard & Ole E. Barndorff-Nielsen, 2004.
"
**Multipower Variation and Stochastic Volatility**," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics.

- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
- Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
"
**Likelihood based inference for diffusion driven models**," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.- 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. - Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004.
"
**Likelihood based inference for diffusion driven models**," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre.

- Neil Shephard & Siddhartha Chib, 2004.
"
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"
**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.
"
**A feasible central limit theory for realised volatility under leverage**," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre. - 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 & Neil Shephard, 2004.
"
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
"
**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.
"
**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.
"
**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.

- 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. - 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 Bos & Neil Shephard, 2006.
"
- Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004.
"
**Parallel Computation in Econometrics: A Simplified Approach**," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.- 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.

- David Hendry & Neil Shephard & Jurgen Doornik, 2003.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
"
**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.
"
**Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise**," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre. - 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.

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
"
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
"
**Stochastic Volatility with Leverage: Fast Likelihood Inference**," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.- Neil Shephard & Yashurio Omori, 2004.
"
**Stochastic volatility with leverage: fast likelihood inference**," Economics Series Working Papers 2004-FE-16, University of Oxford, Department of Economics. - Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
"
**Stochastic volatility with leverage: fast likelihood inference**," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard & Yashurio Omori, 2004.
"
- Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004.
"
**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.- 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. - Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004.
"
**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.
"
**A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales**," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre.

- Neil Shephard, 2004.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
"
**Power variation and stochastic volatility: a review and some new results**," Economics Series Working Papers 2003-W19, University of Oxford, Department of Economics. - Neil Shephard & Enrique Sentana, 2003.
"
**Likelihood-based estimation of latent generalised ARCH**," Economics Series Working Papers 2004-FE-02, University of Oxford, Department of Economics. - Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003.
"
**Power variation & stochastic volatility: a review and some new results**," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford. - 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.
"
**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.

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

- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
"
- 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.
"
**Power and Bipower Variation with Stochastic Volatility and Jumps**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2003.
"
**Power and bipower variation with stochastic volatility and jumps**," Economics Series Working Papers 2003-W18, University of Oxford, Department of Economics.

- Ole E. Barndorff-Nielsen, 2004.
"
- 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, 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.

- Neil Shephard & Ole Barndorff-Nielsen, 2003.
"
**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics. - 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, 2006.
"
- 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. - 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.

- Tina Hviid Rydberg & Neil Shephard, 2003.
"
- 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. - 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.

- 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.- 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 E. Barndorff-Nielsen & Neil Shephard, 2002.
"
- 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 & Ole E. Barndorff-Nielsen, 2002.
"
**Power Variation and Time Change**," Economics Series Working Papers 2002-W24, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
- 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. - 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.- Carla Ysusi & Bent Nielsen, 2002.
"
**Measuring and forecasting financial variability using realised variance with and without a model**," Economics Series Working Papers 2002-W21, University of Oxford, Department of Economics.

- Carla Ysusi & Bent Nielsen, 2002.
"
- 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.- 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 & Siem Jan Koopman, 2002.
"
- Anders Rahbek & Neil Shephard, 2001.
"
**Autoregressive conditional root model**," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.- Neil Shephard & Anders Rahbek, 2002.
"
**Autoregressive conditional root model**," Economics Series Working Papers 2002-W07, University of Oxford, Department of Economics.

- Neil Shephard & Anders Rahbek, 2002.
"
- 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.- 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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
- 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.

- Neil Shephard & Siddhartha Chib, 2001.
"
- 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.
"
**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 & 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.

- 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 Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002.
"
- 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. - 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. - 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.- 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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2001.
"
- 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.
"
**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.- 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. - 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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
- 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. - 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.
"
- 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 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 & Ole E. Barndorff-Nielsen, 1999.
"
- 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. - 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 & Siddhartha Chib, 1999.
"
**Analysis of High Dimensional Multivariate Stochastic Volatility Models**," Economics Series Working Papers 1999-W18, University of Oxford, Department of Economics.- 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.

- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006.
"
- 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. - 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.- 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.

- B. Nielsen & N. Shephard, 2003.
"
- 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. - 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.

- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"
- 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.
"
**Aggregation and model construction for volatility models**," Economics Series Working Papers 1998-W07, University of Oxford, Department of Economics.

- Neil Shephard & Ole E. Barndorff-Nielsen, 1998.
"
- 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.- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"
**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.
"
**Statistical Algorithms for Models in State Space Using SsfPack 2.2**," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.

- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"
- 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. - 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. - 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, 1995.
"
**Generalized linear autoregressions**," Economics Papers 8., 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.
"
- 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.
"
- 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. - 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.- 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.

- David Hendry & Neil Shephard & Jurgen Doornik, 2001.
"
- Michael K Pitt & Neil Shephard, .
"
**Filtering via simulation: auxiliary particle filters**," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.

- 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.
"
- 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.
"
- 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, 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, 2008.
"
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011.
"

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"
- 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.- Neil Shephard & Thomas Flury, 2008.
"
**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.
"

- Neil Shephard & Thomas Flury, 2008.
"
- 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.- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Subsampling realised kernels**," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre. - 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 Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
**Subsampling realised kernels**," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.

- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006.
"
- Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011.
"
**Realized Volatility**," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January. - 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 Series Working Papers 2010-W03, University of Oxford, Department of Economics. - Neil Shephard, 2010.
"
**Deferred fees for universities**," Economics Papers 2010-W03, Economics Group, Nuffield College, University of Oxford.

- Neil Shephard, 2010.
"
- 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 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**," 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**," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.

- Neil Shephard & Kevin Sheppard, 2009.
"
- 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. - 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. - 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.
"
- 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.
"
- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006.
"

- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"
- 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. & 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.- Neil Shephard, 2005.
"
**Limit theorems for bipower variation in financial econometrics**," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics. - 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.
"
**Limit theorems for bipower variation in financial econometrics**," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.

- Neil Shephard, 2005.
"
- 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.- Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen, 2005.
"
**Limit theorems for multipower variation in the presence of jumps**," Economics Series Working Papers 2005-FE-06, University of Oxford, Department of Economics. - 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.

- Neil Shephard & Matthias Winkel & Ole E. Barndorff-Nielsen, 2005.
"
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006.
"
**Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 179-181, April. - 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.
"
**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.
"
- 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.

- Charles S. Bos & Neil Shephard, 2004.
"
- 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.- Neil Shephard & Ole Barndorff-Nielsen, 2003.
"
**Econometrics of testing for jumps in financial economics using bipower variation**," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics. - 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.

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

- Neil Shephard & Siddhartha Chib, 1999.
"
- 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, 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, 2004.
"
**Likelihood-based estimation of latent generalised ARCH structures**," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. - 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 & 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, 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, 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.- 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.

- Bent Nielsen & Neil Shephard, 1999.
"
- 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.- 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. - 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.

- Neil Shephard & Tina Hviid Rydberg, 2002.
"
- Chib, Siddhartha & Shephard, Neil, 2002.
"
**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. - 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.- 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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 2002.
"
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002.
"
**Markov chain Monte Carlo methods for stochastic volatility models**," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June. - 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.- 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.

- Neil Shephard & Ole E. Barndorff-Nielsen, 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 & 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.
"
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"
**Likelihood Inference for Discretely Observed Nonlinear Diffusions**," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.- 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. - Ola Elerian & Siddhartha Chib & Neil Shephard, 2000.
"
**Likelihood inference for discretely observed non-linear diffusions**," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre. - 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.

- Elerian, O. & Chib, S. & Shephard, N., 1998.
"
- 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.
"
**Statistical algorithms for models in state space using SsfPack 2.2**," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.- 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. - Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998.
"
**Statistical Algorithms for Models in State Space Using SsfPack 2.2**," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.

- Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998.
"
- David F. Hendry & Neil Shephard, 1998.
"
**Foreword by the Editors**," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages i-ii. - Aurora Manrique & Neil Shephard, 1998.
"
**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.
"
**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.
"
**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.
"
**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, 1993.
"
**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, 1992.
"
**Tabulation of Farebrother's Test for Linear Restrictions**," Econometric Theory, Cambridge University Press, vol. 8(04), pages 583-584, December. - Shephard, N.G., 1991.
"
**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.
"
**State Space and Unobserved Component Models**," Cambridge Books, Cambridge University Press, number 9781107407435, November. - Castle, Jennifer & Shephard, Neil (ed.), 2009.
"
**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.
"
**Stochastic Volatility: Selected Readings**," OUP Catalogue, Oxford University Press, number 9780199257201, December. - Harvey,Andrew & Koopman,Siem Jan & Shephard,Neil (ed.), 2004.
"
**State Space and Unobserved Component Models**," Cambridge Books, Cambridge University Press, number 9780521835954, November.

- 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

- Average Rank Score
- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Number of Downloads through RePEc Services over the past 12 months
- Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
- Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
- Betweenness measure in co-authorship network
- Wu-Index
- Record of graduates

#### 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, 2003.
"
**Power and bipower variation with stochastic volatility and jumps**," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

To update listings or check citations waiting for approval, Neil Shephard should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.