# Neil Shephard ![Neil Shephard photo](/sites/g/files/omnuum7741/files/styles/hwp_1_1__360x360_scale/public/shephard/files/neilshephard.jpg?itok=M3TvHOx2) 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 as Professor of Economics and of Statistics, holding the position equally between the Economics Department and the Statistics Departments. He was chair of the Harvard University's Department of Statistics from 2015 to 2022. In 2018 he became the Frank B. Baird, Jr. Professor of Science, still working in the Economics and Statistics Departments. Professor Shephard is a fellow of the Econometric Society, the British Academy, the Society for Financial Econometrics and the International Association for Applied Econometrics. Professor Shephard was a faculty member at the London School of Economics from 1988-1993 and Nuffield College, Oxford from 1991 to 2013. He received his Ph.D. from the LSE in 1990. [Curriculum Vitae](/file_url/202) ## Recent Publications Download 6 citations download- [BibTeX](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=bibtex) - [EndNote X3 XML](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=endnote8) - [EndNote 7 XML](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=endnote7) - [Endnote tagged](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=tagged) - [Marc](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=marc) - [PubMedId](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=pubmed_id) - [RIS](/bibcite/export?pager_style=no_pager&number_of_items=6&sort_field=bibcite_year--desc&taxonomy_filters=&&&format=ris) ### Working Paper van Heel, Simon Donker, and Neil Shephard. (December) 2025. “[Exponentially Weighted Estimands and the Exponential Family: Filtering, Prediction and Smoothing](https://arxiv.org/abs/2512.16745).” van Heel, Simon Donker, and Neil Shephard. (December) 2025. “[Exponentially Weighted Estimands and the Exponential Family: Filtering, Prediction and Smoothing](https://arxiv.org/abs/2512.16745).” - add\_circle do\_not\_disturb\_on Abstract We propose using a discounted version of a convex combination of the log-likelihood with the corresponding expected log-likelihood such that when they are maximized they yield a filter, predictor and smoother for time series. This paper then focuses on... Carlson, Jacob, and Neil Shephard. (March) 2026. “[When Are Time Series Predictions Causal? The Potential System and Dynamic Causal Effects](/publication/when-are-time-series-predictions-causal-potential-system-and-dynamic-causal-effects).” Carlson, Jacob, and Neil Shephard. (March) 2026. “[When Are Time Series Predictions Causal? The Potential System and Dynamic Causal Effects](/publication/when-are-time-series-predictions-causal-potential-system-and-dynamic-causal-effects).” - add\_circle do\_not\_disturb\_on Abstract - [ picture\_as\_pdfPotential\_Process\_System....](/sites/g/files/omnuum7741/files/2026-03/Potential_Process_System.pdf) The potential system is a nonparametric time series model for assessing the causal impact of moving an assignment at time $t$ on an outcome at future time $t+h$, accounting for the presence of features. The potential system provides nonparametric content... - [ picture\_as\_pdfPotential\_Process\_System....](/sites/g/files/omnuum7741/files/2026-03/Potential_Process_System.pdf) Rambachan, Ashesh, and Neil Shephard. n.d. “[When Do Common Time Series Estimands Have Nonparametric Causal Meaning?](/publications/nonparametric-dynamic-causal-model-macroeconometrics).” Rambachan, Ashesh, and Neil Shephard. n.d. “[When Do Common Time Series Estimands Have Nonparametric Causal Meaning?](/publications/nonparametric-dynamic-causal-model-macroeconometrics).” - [ picture\_as\_pdfcausalmodelformacro202110...](/sites/g/files/omnuum7741/files/shephard/files/causalmodelformacro20211012.pdf) - [ picture\_as\_pdfcausalmodelformacro202110...](/sites/g/files/omnuum7741/files/shephard/files/causalmodelformacro20211012.pdf) Shephard, Neil. n.d. “[An Estimator for Predictive Regression: Reliable Inference for Financial Economics](/publications/estimator-predictive-regression-reliable-inference-financial-economics).” Shephard, Neil. n.d. “[An Estimator for Predictive Regression: Reliable Inference for Financial Economics](/publications/estimator-predictive-regression-reliable-inference-financial-economics).” - add\_circle do\_not\_disturb\_on Abstract - [ picture\_as\_pdfweirdregression20200818.p...](/sites/g/files/omnuum7741/files/shephard/files/weirdregression20200818.pdf) Estimating linear regression using least squares and reporting robust standard errors is very common in financial economics, and indeed, much of the social sciences and elsewhere. For thick tailed predictors under heteroskedasticity this recipe for... - [ picture\_as\_pdfweirdregression20200818.p...](/sites/g/files/omnuum7741/files/shephard/files/weirdregression20200818.pdf) Shephard, Neil. n.d. “[Some Properties of the Sample Median of an In-Fill Sequence of Events With an Application to High Frequency Financial Econometrics](/publications/some-properties-sample-median-fill-sequence-events-application-high-frequency).” Shephard, Neil. n.d. “[Some Properties of the Sample Median of an In-Fill Sequence of Events With an Application to High Frequency Financial Econometrics](/publications/some-properties-sample-median-fill-sequence-events-application-high-frequency).” - add\_circle do\_not\_disturb\_on Abstract - [ picture\_as\_pdfmedian20220904.pdf](/sites/g/files/omnuum7741/files/shephard/files/median20220904.pdf) Using an in-fill argument, the properties of the sample median of a sequence of events are established both for the case of a fixed period of time and for a period which shrinks as the sample size grows. The results are used to study the properties of... - [ picture\_as\_pdfmedian20220904.pdf](/sites/g/files/omnuum7741/files/shephard/files/median20220904.pdf) ### 2026 Shephard, Neil. (February) 2026. “[Ole Eiler Barndorff-Nielsen and Financial Econometrics](https://projecteuclid.org/journals/bernoulli/volume-32/issue-1/Ole-Eiler-Barndorff-Nielsen-and-financial-econometrics/10.3150/25-BEJ1905.short)”. 32, 68-80. *Bernoulli*. Shephard, Neil. (February) 2026. “[Ole Eiler Barndorff-Nielsen and Financial Econometrics](https://projecteuclid.org/journals/bernoulli/volume-32/issue-1/Ole-Eiler-Barndorff-Nielsen-and-financial-econometrics/10.3150/25-BEJ1905.short)”. 32, 68-80. *Bernoulli*. - add\_circle do\_not\_disturb\_on Abstract - [ picture\_as\_pdfolebernoulli.pdf](/sites/g/files/omnuum7741/files/2025-06/olebernoulli.pdf) This note reviews some of the contributions Ole Eiler Barndorff-Nielsen made to financial econometrics. He was particularly active in that area from the mid-nineties for around a dozen years. His innovations include the NIG Lévy process, the Barndorff... - [ picture\_as\_pdfolebernoulli.pdf](/sites/g/files/omnuum7741/files/2025-06/olebernoulli.pdf) [ More arrow\_circle\_right ](/publications)