Neil Shephard

16 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-8230-9754

Department of Statistics, Harvard University, Cambridge, MA; ;b Department of Economics, Harvard University, Cambridge, MA

Publications

• Moment conditions and Bayesian non-parametrics — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2019
• Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading — Journal of the American Statistical Association 2019
• Continuous Time Analysis of Fleeting Discrete Price Moves — Journal of the American Statistical Association 2017
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise — Econometrica 2008
• Likelihood-Based Estimation of Latent Generalized ARCH Structures — Econometrica 2004
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics — Econometrica 2004
• Econometric analysis of realized volatility and its use in estimating stochastic volatility models — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2002
• Likelihood Inference for Discretely Observed Nonlinear Diffusions — Econometrica 2001
• Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2001
• Filtering via Simulation: Auxiliary Particle Filters — Journal of the American Statistical Association 1999
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models — The Review of Economic Studies 1998 (name-matched, not ORCID-linked)
• Likelihood analysis of non-Gaussian measurement time series — Biometrika 1997 (name-matched, not ORCID-linked)
• The simulation smoother for time series models — Biometrika 1995
• Multivariate Stochastic Variance Models — The Review of Economic Studies 1994
• Partial non-Gaussian state space — Biometrika 1994
• Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components — Journal of the American Statistical Association 1993