Professor Neil Shephard

Economics Econometrics

Elected 2006

2006
Economics

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.

Current post

Professor of Economics and of Statistics, Harvard University

Past appointments

Department of Economics, Harvard Professor of Economics and of Statistics

Sep 2013 -

Nuffield College University of Oxford Professorial Fellow

Jan 2006 - Sep 2013

Nuffield College University of Oxford Professor of Economics

Jan 2006 - Sep 2013

Nuffield College University of Oxford Director of the Oxford-Man Institute

Jan 2006 - Dec 2011

Nuffield College University of Oxford Official Fellow in Economics

Jan 1993 - Jan 2006

Nuffield College University of Oxford Gatsby Prize Research Fellow

Jan 1991 - Jan 1993

London School of Economics and Political Science University of London Lecturer

Jan 1988 - Jan 1993

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

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