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Professor Neil Shephard FBA

Economics Econometrics
Professor Neil Shephard FBA profile picture

About this Fellow

Neil Shephard's broad research interests are in econometrics, finance and statistics, with a particular focus on financial econometrics. He has made significant advances in developing simulation based inference methods for online learning and has contributed methods to allow the mainstream use of high frequency financial data in economics. He joined the Harvard faculty in 2013, holding a professorship joint between the Economics and Statistics Departments. Since 2015 he has also been the chair of the Statistics Department. Professor Shephard is a fellow of the Econometric Society and the British Academy. He is an associated editor of Econometrica. Professor Shephard was a faculty member at the London School of Economics from 1988-1993 and Oxford University and Nuffield College, Oxford from 1991 to 2013.

Website: http://scholar.harvard.edu/shephard/home

Appointments

Current post

  • Professor of Economics and of Statistics, Harvard University

Past Appointments

  • Lecturer, London School of Economics and Political Science University of London, 1988 - 1993
  • Gatsby Prize Research Fellow, Nuffield College University of Oxford, 1991 - 1993
  • Official Fellow in Economics, Nuffield College University of Oxford, 1993 - 2006
  • Professorial Fellow, Nuffield College University of Oxford, 2006 - 2013
  • Professor of Economics, Nuffield College University of Oxford, 2006 - 2013
  • Professor of Economics and of Statistics, Department of Economics, Harvard, 2013
  • Director of the Oxford-Man Institute, Nuffield College University of Oxford, 2006 - 2011

Publications

Stochastic Volatility: Likelihood Inference and Comparison with Arch Models Review of Economic Studies 1998

Econometric Analysis of Realised Volatility and its use in Estimating Stochastic Volatility Models JRSSB 2002

Econometrics of Testing for Jumps in Financial Economics using Bipower Variation Journal of Financial Econometrics 2006

Other Economics and Economic History Fellows

Professor Kevin O'Rourke

Economic history and international economics; the history of the international economy, the political economy of trade, economic growth and fluctuations

Professor Lucrezia Reichlin

Designing econometric models for large panels of time series and developing solutions for the so-called `curse of dimensionality problem'; economic forecasting in real time (now-casting); monetary policy and its effect on financial intermediation

Professor Hamid Sabourian

Game theory and economic theory; in particular asset prices, bargaining, bounded rationality and complexity, evolutionary games, herd behaviour and social learning, implementation and mechanism design, market games, repeated games, voting

Professor Patrick Bolton

Economics, finance and law, specializing in the areas of contract theory, industrial organization and antitrust law, corporate finance, banking and financial regulation, sovereign debt restructuring, and corporate governance

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