Neil Shephard

Neil Shephard (born 8 October 1964), FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University.

His most well known contributions are: (i) the formalisation of the econometrics of realised volatility, which nonparametrically estimates the volatility of asset prices, (ii) the introduction of the auxiliary particle filter (signal extraction), (iii) the nonparametric identification of jumps in financial economics, through multipower variation, (iv) stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes, known as 'Barndorff-Nielsen-Shephard' models. Provided by Wikipedia
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  1. 1
    Interactions With Sir David R. Cox

    Interactions With Sir David R. Cox by Neil Shephard

    Published 2023-04-01
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  2. 2
    Closing five Emergency Departments in England between 2009 and 2011: the closED controlled interrupted time-series analysis

    Closing five Emergency Departments in England between 2009 and 2011: the closED controlled interrupted time-series analysis by Emma Knowles, Neil Shephard, Tony Stone, Lindsey Bishop-Edwards, Enid Hirst, Linda Abouzeid, Suzanne Mason, Jon Nicholl

    Published 2018-07-01
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  3. 3
    Selecting pregnant or postpartum women with suspected pulmonary embolism for diagnostic imaging: the DiPEP diagnostic study with decision-analysis modelling

    Selecting pregnant or postpartum women with suspected pulmonary embolism for diagnostic imaging: the DiPEP diagnostic study with decision-analysis modelling by Steve Goodacre, Kimberley Horspool, Neil Shephard, Daniel Pollard, Beverley J Hunt, Gordon Fuller, Catherine Nelson-Piercy, Marian Knight, Steven Thomas, Fiona Lecky, Judith Cohen

    Published 2018-08-01
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  4. 4
    PLEASANT: Preventing and Lessening Exacerbations of Asthma in School-age children Associated with a New Term – a cluster randomised controlled trial and economic evaluation

    PLEASANT: Preventing and Lessening Exacerbations of Asthma in School-age children Associated with a New Term – a cluster randomised controlled trial and economic evaluation by Steven A Julious, Michelle J Horspool, Sarah Davis, Mike Bradburn, Paul Norman, Neil Shephard, Cindy L Cooper, W Henry Smithson, Jonathan Boote, Heather Elphick, Amanda Loban, Matthew Franklin, Wei Sun Kua, Robin May, Jennifer Campbell, Rachael Williams, Saleema Rex, Oscar Bortolami

    Published 2016-12-01
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  5. 5
    The HubBLe Trial: haemorrhoidal artery ligation (HAL) versus rubber band ligation (RBL) for symptomatic second- and third-degree haemorrhoids: a multicentre randomised controlled trial and health-economic evaluation

    The HubBLe Trial: haemorrhoidal artery ligation (HAL) versus rubber band ligation (RBL) for symptomatic second- and third-degree haemorrhoids: a multicentre randomised controlled t... by Steven Brown, Jim Tiernan, Katie Biggs, Daniel Hind, Neil Shephard, Mike Bradburn, Allan Wailoo, Abualbishr Alshreef, Lizzie Swaby, Angus Watson, Simon Radley, Oliver Jones, Paul Skaife, Anil Agarwal, Pasquale Giordano, Marc Lamah, Mark Cartmell, Justin Davies, Omar Faiz, Karen Nugent, Andrew Clarke, Angus MacDonald, Phillip Conaghan, Paul Ziprin, Rohit Makhija

    Published 2016-11-01
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