← All authors Neil Shephard Harvard University (from arXiv:1903.01637, 2019) · ORCID · OpenAlex
76 papers in scope · 75 published · 1 on the econ.EM arXiv · 21,888 citations · h-index 45 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Valentin Winkler Raimondo Pala Alessandro Casini Luca Mattia Rolla Thomas Glinnan Alexander Wehrli Enrico Wegner Adam McCloskey Daniele Ballinari Whitney Zhang Iones Kelanemer Holban Lutz Kilian Elena Peavento Guillaume Chevillon Takamitsu Kurita Mengshan Xu Jacob Carlson Pierre Perrón Lenard Lieb Masahiro Tanaka Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 76)
Ole Eiler Barndorff-Nielsen and financial econometrics
published 2025 · Bernoulli
Inference and forecasting for continuous-time integer-valued trawl processes
published 2023 · Journal of Econometrics · 10 citations · first circulated 2021
Panel experiments and dynamic causal effects: A finite population perspective
published 2021 · Quantitative Economics · 25 citations · first circulated 2020
Fitting Vast Dimensional Time-Varying Covariance Models
published 2020 · Journal of Business and Economic Statistics · 155 citations · first circulated 2007
working paper 2019 · arXiv · 12 citations
A Comparison of Sample Survey Measures of Earnings of English Graduates with Administrative Data
published 2019 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 13 citations
with Jack Britton, Anna Vignoles
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates
published 2019 · Oxford Bulletin of Economics and Statistics · 29 citations
with Jack Britton, Lorraine Dearden, Anna Vignoles
Moment Conditions and Bayesian Non-Parametrics
published 2018 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 3 citations
with Luke Bornn, Reza Solgi
A nonparametric Bayesian approach to copula estimation
published 2018 · Journal of Statistical Computation and Simulation · 17 citations · first circulated 2017
with Shaoyang Ning
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
published 2017 · Journal of Econometrics · 45 citations
with Dacheng Xiu
Continuous Time Analysis of Fleeting Discrete Price Moves
published 2016 · Journal of the American Statistical Association · 19 citations · first circulated 2014
with Justin Yang
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
published 2015 · Journal of Business and Economic Statistics · 79 citations
Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
published 2014 · Scandinavian Journal of Statistics · 36 citations · first circulated 2013
Multivariate rotated ARCH models
published 2013 · Journal of Econometrics · 7 citations · first circulated 2012
with Diaa Noureldin, Kevin Sheppard
Martingale unobserved component models
published 2013 · Economics Papers · 26 citations
Integer-valued Lévy processes and low latency financial econometrics
published 2012 · Quantitative Finance · 69 citations
with Ole E. Barndorff-Nielsen, David G. Pollard
Multivariate high‐frequency‐based volatility (HEAVY) models
published 2011 · Journal of Applied Econometrics · 243 citations
with Diaa Noureldin, Kevin Sheppard
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
published 2011 · Econometric Theory · 188 citations · first circulated 2008
with Thomas Flury
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
published 2011 · Journal of Econometrics · 186 citations · first circulated 2010
Realized Volatility
published 2010 · Journal of Econometrics · 10 citations
Subsampling realised kernels
published 2010 · Journal of Econometrics · 98 citations · first circulated 2007
Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
published 2010 · Journal of Applied Econometrics · 453 citations · first circulated 2009
with Kevin Sheppard
Realized kernels in practice: trades and quotes
published 2009 · Econometrics Journal · 677 citations · first circulated 2008
Testing the assumptions behind importance sampling
published 2008 · Journal of Econometrics · 111 citations · first circulated 2002
The ACR Model: A Multivariate Dynamic Mixture Autoregression*
published 2008 · Oxford Bulletin of Economics and Statistics · 71 citations
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
published 2008 · Econometrica · 1289 citations
Stochastic volatility with leverage: Fast and efficient likelihood inference
published 2006 · Journal of Econometrics · 475 citations · first circulated 2004
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
published 2006 · Econometric Reviews · 60 citations · first circulated 2004
with Charles S. Bos
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
published 2006 · Econometric Theory · 157 citations
with Ole E. Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod
Comment
published 2006 · Journal of Business and Economic Statistics · 1 citations
with Ole E. Barndorff-Nielsen
Limit theorems for multipower variation in the presence of jumps
published 2006 · Stochastic Processes and their Applications · 243 citations · first circulated 2005
with Ole E. Barndorff-Nielsen, Matthias Winkel
Power Variation and Time Change
published 2006 · Theory of Probability and Its Applications · 9 citations · first circulated 2002
with Ole E. Barndorff-Nielsen
Analysis of high dimensional multivariate stochastic volatility models
published 2005 · Journal of Econometrics · 347 citations · first circulated 1999
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
published 2005 · Journal of Econometrics · 96 citations · first circulated 2003
with Ole E. Barndorff-Nielsen
Likelihood-Based Estimation of Latent Generalized ARCH Structures
published 2004 · Econometrica · 96 citations · first circulated 2003
with Gabriele Fiorentini, Enrique Sentana
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
published 2004 · Econometrica · 955 citations · first circulated 2002
with Ole E. Barndorff-Nielsen
Power variation and stochastic volatility: a review and some new results
published 2004 · Journal of Applied Probability · 52 citations · first circulated 2003
with Ole E. Barndorff-Nielsen, Svend Erik Graversen
Likelihood analysis of a first‐order autoregressive model with exponential innovations
published 2003 · Journal of Time Series Analysis · 59 citations · first circulated 1999
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
published 2003 · Scandinavian Journal of Statistics · 130 citations · first circulated 2001
with Ole E. Barndorff-Nielsen
Realized power variation and stochastic volatility models
published 2003 · Bernoulli · 254 citations · first circulated 2001
with Ole E. Barndorff-Nielsen
Estimating quadratic variation using realized variance
published 2002 · Journal of Applied Econometrics · 648 citations
with Ole E. Barndorff-Nielsen
Markov chain Monte Carlo methods for stochastic volatility models
published 2002 · Journal of Econometrics · 608 citations · first circulated 1998
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
published 2002 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2318 citations · first circulated 2000
with Ole E. Barndorff-Nielsen
Computationally intensive econometrics using a distributed matrix-programming language
published 2002 · Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences · 20 citations · first circulated 2001
with Jurgen A. Doornik, David F. Hendry
Some recent developments in stochastic volatility modelling
published 2002 · Quantitative Finance · 123 citations · first circulated 2001
with Ole E. Barndorff-Nielsen, Elisa Nicolato
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
published 2002 · Journal of Business and Economic Statistics · 8 citations · first circulated 2001
no link
Comment [5] (multiple letters)
published 2002 · Journal of Business and Economic Statistics
no link
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
published 2001 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1895 citations · first circulated 2000
with Ole E. Barndorff-Nielsen
Likelihood Inference for Discretely Observed Nonlinear Diffusions
published 2001 · Econometrica · 469 citations
Normal modified stable processes
published 2001 · Economics Papers · 133 citations
with Ole E. Barndorff-Nielsen
no link
Filtering via Simulation: Auxiliary Particle Filters
published 1999 · Journal of the American Statistical Association · 2266 citations
with M. Pitt
Statistical algorithms for models in state space using SsfPack 2.2
published 1999 · Econometrics Journal · 482 citations · first circulated 1998
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
published 1999 · Journal of Time Series Analysis · 48 citations · first circulated 1996
with M. Pitt
The Econometrics Journal of the Royal Economic Society
published 1998 · Econometrics Journal · 14 citations
with David F. Hendry
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
published 1998 · The Review of Economic Studies · 2333 citations
Simulation‐based likelihood inference for limited dependent processes
published 1998 · Econometrics Journal · 23 citations
with Aurora Manrique
Aggregation and Model Construction for Volatility Models
published 1998 · Economics Papers · 32 citations
with O.E. Barndorf-Nielsen, Ole E. Barndorff-Nielsen
no link
Foreword by the Editors
published 1998 · Econometrics Journal
with David F. Hendry
no link
Detecting shocks: Outliers and breaks in time series
published 1997 · Journal of Econometrics · 54 citations
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
published 1996 · Journal of Business and Economic Statistics · 457 citations
with Andrew Harvey
Stamp 5.0 Structural Time Series Analyser, Modeller and Predictor.
published 1996 · The Economic Journal · 195 citations
Deletion diagnostics for transformations of time series
published 1996 · Journal of Forecasting · 10 citations · first circulated 1992
with Anthony C. Atkinson
The simulation smoother for time series models
published 1995 · Biometrika · 579 citations
with Piet de Jong
[Bayesian Analysis of Stochastic Volatility Models]: Comment
published 1994 · Journal of Business and Economic Statistics · 10 citations
with Sang-Joon Kim
Comment
published 1994 · Journal of Business and Economic Statistics · 3 citations
with Sang-Joon Kim
Multivariate Stochastic Variance Models
published 1994 · The Review of Economic Studies · 1404 citations
Partial non-Gaussian state space
published 1994 · Biometrika · 364 citations
Local scale models
published 1994 · Journal of Econometrics · 76 citations
Fitting nonlinear time-series models with applications to stochastic variance models
published 1993 · Journal of Applied Econometrics · 101 citations
Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components
published 1993 · Journal of the American Statistical Association · 34 citations
Distribution of the ML Estimator of an MA(1) and a local level model
published 1993 · Econometric Theory · 25 citations
Exact Score for Time Series Models in State Space Form
published 1992 · Biometrika · 39 citations
Tabulation of Farebrother's Test for Linear Restrictions
published 1992 · Econometric Theory · 1 citations
From Characteristic Function to Distribution Function: A Simple Framework for the Theory
published 1991 · Econometric Theory · 185 citations
Numerical integration rules for multivariate inversions
published 1991 · Journal of Statistical Computation and Simulation · 24 citations
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
published 1990 · Journal of Time Series Analysis · 102 citations
with Andrew Harvey
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