# Publications Search Within Results Search Within Results search ## 114 results Show filters filter\_alt Sort by Year of PublicationAlphabetical A-Z sort ## 114 results Download 114 citations download- [BibTeX](/node/724821/export?format=bibtex) - [EndNote X3 XML](/node/724821/export?format=endnote8) - [EndNote 7 XML](/node/724821/export?format=endnote7) - [Endnote tagged](/node/724821/export?format=tagged) - [Marc](/node/724821/export?format=marc) - [PubMedId](/node/724821/export?format=pubmed_id) - [RIS](/node/724821/export?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) ### 2023 Shephard, Neil. 2023. “[Interactions With Sir David R. Cox](/publications/interactions-sir-david-r-cox)”. *Harvard Data Science Review* 5 (2). Shephard, Neil. 2023. “[Interactions With Sir David R. Cox](/publications/interactions-sir-david-r-cox)”. *Harvard Data Science Review* 5 (2). - [ descriptionPublisher's Version](https://hdsr.mitpress.mit.edu/pub/qpgr28nf/release/1?readingCollection=d6860ef9) - [ picture\_as\_pdfdrc20230124.pdf](/sites/g/files/omnuum7741/files/shephard/files/drc20230124.pdf) - [ descriptionPublisher's Version](https://hdsr.mitpress.mit.edu/pub/qpgr28nf/release/1?readingCollection=d6860ef9) - [ picture\_as\_pdfdrc20230124.pdf](/sites/g/files/omnuum7741/files/shephard/files/drc20230124.pdf) Bennedsen, Mikkel, Asger Lunde, Neil Shephard, and Almut E.D. Veraart. 2023. “[Inference and Forecasting for Continuous-Time Integer-Valued Trawl Processes](/publications/inference-and-forecasting-continuous-time-integer-valued-trawl-processes)”. *Journal of Econometrics* 236 (2): 105476. Bennedsen, Mikkel, Asger Lunde, Neil Shephard, and Almut E.D. Veraart. 2023. “[Inference and Forecasting for Continuous-Time Integer-Valued Trawl Processes](/publications/inference-and-forecasting-continuous-time-integer-valued-trawl-processes)”. *Journal of Econometrics* 236 (2): 105476. - add\_circle do\_not\_disturb\_on Abstract - [ descriptionPublisher's Version](https://www.sciencedirect.com/science/article/pii/S0304407623001926) - [ picture\_as\_pdf2107.03674.pdf](/sites/g/files/omnuum7741/files/shephard/files/2107.03674.pdf) This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of integer-valued trawl processes is, in general, highly intractable... - [ descriptionPublisher's Version](https://www.sciencedirect.com/science/article/pii/S0304407623001926) - [ picture\_as\_pdf2107.03674.pdf](/sites/g/files/omnuum7741/files/shephard/files/2107.03674.pdf) ### 2021 Engle, Robert, Cavit Pakel, Kevin K. Shephard, and Neil Shephard. 2021. “[Fitting Vast Dimensional Time-Varying Covariance Models](/publications/fitting-vast-dimensional-time-varying-covariance-models)”. *Journal of Business and Economic Statistics* 39: 652-68. Engle, Robert, Cavit Pakel, Kevin K. Shephard, and Neil Shephard. 2021. “[Fitting Vast Dimensional Time-Varying Covariance Models](/publications/fitting-vast-dimensional-time-varying-covariance-models)”. *Journal of Business and Economic Statistics* 39: 652-68. - add\_circle do\_not\_disturb\_on Abstract - [ picture\_as\_pdfvastarch-revised.pdf](/sites/g/files/omnuum7741/files/shephard/files/vastarch-revised.pdf) - [ picture\_as\_pdfsupplementaryappendix-rev...](/sites/g/files/omnuum7741/files/shephard/files/supplementaryappendix-revised.pdf) Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose. Estimation of such models is computationally costly and parameter estimates are meaningfully... - [ picture\_as\_pdfvastarch-revised.pdf](/sites/g/files/omnuum7741/files/shephard/files/vastarch-revised.pdf) - [ picture\_as\_pdfsupplementaryappendix-rev...](/sites/g/files/omnuum7741/files/shephard/files/supplementaryappendix-revised.pdf) Shephard, Neil, Iavor Bojinov, and Ashesh Rambachan. 2021. “[Panel Experiments and Dynamic Causal Effects: A Finite Population Perspective](/publications/panel-experiments-and-dynamic-causal-effects-finite-population-perspective)”. *Quantitative Economics* 12: 1171-96. Shephard, Neil, Iavor Bojinov, and Ashesh Rambachan. 2021. “[Panel Experiments and Dynamic Causal Effects: A Finite Population Perspective](/publications/panel-experiments-and-dynamic-causal-effects-finite-population-perspective)”. *Quantitative Economics* 12: 1171-96. - add\_circle do\_not\_disturb\_on Abstract - [ picture\_as\_pdf2003.099151.pdf](/sites/g/files/omnuum7741/files/shephard/files/2003.099151.pdf) In panel experiments, we randomly expose multiple units to different interventions and measure their subsequent outcomes, sequentially repeating the procedure numerous times. Using the potential outcomes framework, we define finite population dynamic... - [ picture\_as\_pdf2003.099151.pdf](/sites/g/files/omnuum7741/files/shephard/files/2003.099151.pdf) ### 2019 Bornn, Luke, Neil Shephard, and Reza Solgi. 2019. “[Moment Conditions and Bayesian Nonparametrics](/publications/moment-conditions-and-bayesian-nonparametrics)”. *Journal of the Royal Statistical Society, Series B* 81: 5-43. Bornn, Luke, Neil Shephard, and Reza Solgi. 2019. “[Moment Conditions and Bayesian Nonparametrics](/publications/moment-conditions-and-bayesian-nonparametrics)”. *Journal of the Royal Statistical Society, Series B* 81: 5-43. - [ picture\_as\_pdfbornnshephardsolgi2016011...](/sites/g/files/omnuum7741/files/shephard/files/bornnshephardsolgi20160113.pdf) - [ picture\_as\_pdfbornnshephardsolgi2016011...](/sites/g/files/omnuum7741/files/shephard/files/bornnshephardsolgi20160113.pdf) Britton, Jack, Neil Shephard, and Anna Vignoles. 2019. “[A Comparison of Sample Survey Measures of Earnings of English Graduates With Administrative Data](/publications/comparing-sample-survey-measures-english-earnings-ofgraduates-administrative)”. *Journal of the Royal Statistical Society, Series A* 182: 719-54. Britton, Jack, Neil Shephard, and Anna Vignoles. 2019. “[A Comparison of Sample Survey Measures of Earnings of English Graduates With Administrative Data](/publications/comparing-sample-survey-measures-english-earnings-ofgraduates-administrative)”. *Journal of the Royal Statistical Society, Series A* 182: 719-54. - [ picture\_as\_pdfbsv20150905.pdf](/sites/g/files/omnuum7741/files/shephard/files/bsv20150905.pdf) - [ picture\_as\_pdfbsv20150905.pdf](/sites/g/files/omnuum7741/files/shephard/files/bsv20150905.pdf) - Previous page chevron\_left - [1](?page=0 "Current page") - [2](?page=1 "Go to page 2") - [3](?page=2 "Go to page 3") - [ Last page 10 ](?page=9 "Go to last page") - [ Next page chevron\_right ](?page=1 "Go to next page")