Publications
114 results
114 results
2019
Bojinov, Iavor, and Neil Shephard. 2019. “Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading”. Journal of the American Statistical Association 114: 1665-82.
Bojinov, Iavor, and Neil Shephard. 2019. “Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading”. Journal of the American Statistical Association 114: 1665-82.
Britton, Jack, Lorraine Deardon, Neil Shephard, and Anna Vignoles. 2019. “Is Improving Access to University Enough? Socio Economic Gaps in the Earnings of English Graduates”. Oxford Bulletin of Economics and Statistics 81: 328-68.
Britton, Jack, Lorraine Deardon, Neil Shephard, and Anna Vignoles. 2019. “Is Improving Access to University Enough? Socio Economic Gaps in the Earnings of English Graduates”. Oxford Bulletin of Economics and Statistics 81: 328-68.
Britton, Jack, Laura Erve, Neil Shephard, and Chris Belfield. 2019. “Where Is the Money Going? Estimating Government Spending on Different University Degrees”. London: Institute of Fiscal Studies.
Britton, Jack, Laura Erve, Neil Shephard, and Chris Belfield. 2019. “Where Is the Money Going? Estimating Government Spending on Different University Degrees”. London: Institute of Fiscal Studies.
2018
Shephard, Neil, and Shaoyang Ning. 2018. “A Nonparametric Bayesian Approach to Copula Estimation”. Journal of Statistical Computation and Simulation 201: 1081-1105.
Shephard, Neil, and Shaoyang Ning. 2018. “A Nonparametric Bayesian Approach to Copula Estimation”. Journal of Statistical Computation and Simulation 201: 1081-1105.
2017
Shephard, Neil, and Justin Yang. 2017. “Continuous Time Analysis of Fleeting Discrete Price Moves”. Journal of the American Statistical Association 112: 1090-1106.
Shephard, Neil, and Justin Yang. 2017. “Continuous Time Analysis of Fleeting Discrete Price Moves”. Journal of the American Statistical Association 112: 1090-1106.
2015
Koopman, Siem Jan, and Neil Shephard, eds. 2015. Unobserved Components and Time Series Econometrics. Oxford: Oxford University Press.
Koopman, Siem Jan, and Neil Shephard, eds. 2015. Unobserved Components and Time Series Econometrics. Oxford: Oxford University Press.
Lunde, Asger, Kevin Sheppard, and Neil Shephard. 2015. “Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice”. Journal of Business and Economic Statistics 34: 504-18.
Lunde, Asger, Kevin Sheppard, and Neil Shephard. 2015. “Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice”. Journal of Business and Economic Statistics 34: 504-18.
Shephard, Neil. 2015. “Martingale Unobserved Component Models”. In Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard, 218-49. Oxford: Oxford University Press.
Shephard, Neil. 2015. “Martingale Unobserved Component Models”. In Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard, 218-49. Oxford: Oxford University Press.
Shephard, Neil, and Justin Yang. 2015. “Likelihood Inference for Exponential-Trawl Processes”. In The Fascination of Probability, Statistics and Their Applications, edited by Mark Podolskij, Robert Stelzer, and Thorbjornsen, 251-81. Springer.
Shephard, Neil, and Justin Yang. 2015. “Likelihood Inference for Exponential-Trawl Processes”. In The Fascination of Probability, Statistics and Their Applications, edited by Mark Podolskij, Robert Stelzer, and Thorbjornsen, 251-81. Springer.
2014
Barndorff-Nielsen, Ole E., Asger Lunde, Neil Shephard, and Almut Veraart. 2014. “Integer Value Trawl Processes: A Class of Stationary Infinitely Divisible Processes”. Scandanavian Journal of Statistics 41: 693-724.
Barndorff-Nielsen, Ole E., Asger Lunde, Neil Shephard, and Almut Veraart. 2014. “Integer Value Trawl Processes: A Class of Stationary Infinitely Divisible Processes”. Scandanavian Journal of Statistics 41: 693-724.
Noureldin, Diaa, Kevin Sheppard, and Neil Shephard. 2014. “Multivariate Rotated ARCH Models”. Journal of Econometrics 179: 16-30.
Noureldin, Diaa, Kevin Sheppard, and Neil Shephard. 2014. “Multivariate Rotated ARCH Models”. Journal of Econometrics 179: 16-30.
2012
Shephard, Neil, Diaa Noureldin, and Kevin Sheppard. 2012. “Multivariate High-Frequency-Based Volatility (HEAVY) Models”. Journal of Applied Econometrics 27: 907-33.
Shephard, Neil, Diaa Noureldin, and Kevin Sheppard. 2012. “Multivariate High-Frequency-Based Volatility (HEAVY) Models”. Journal of Applied Econometrics 27: 907-33.