Neil Shephard
Names
first:  Neil 
last:  Shephard 
Contact
email:  
homepage:  http://www.people.fas.harvard.edu/~shephard/ 
Affiliations

Harvard University
→ Department of Economics
 website
 location: Cambridge, Massachusetts (United States)
Research profile
author of:

BIN Models for TradebyTrade Data. Modelling the Number of Trades in a Fixed Interval of Time
by Tina Hviid Rydberg & Neil Shephard 
Stochastic volatility: likelihood inference and comparison with ARCH models
by Sangjoon Kim & Neil Shephard 
Generalized linear autoregressions
by Neil Shephard 
Likelihood analysis of nonGaussian parameter driven models
by Neil Shephard & Michael K. Pitt 
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
by Michael K. Pitt & Neil Shephard 
Integrated OU Processes
by Ole E. BarndorffNielsen & Neil Shephard 
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
by Ole E. BarndorffNielsen & Neil Shephard 
Normal modified stable processes
by Ole E. BarndorffNielsen & Neil Shephard 
Higher order variation and stochastic volatility models
by Ole E. BarndorffNielsen & Neil Shephard 
How accurate is the asymptotic approximation to the distribution of realised volatility?
by Ole E. BarndorffNielsen & Neil Shephard 
Realised power variation and stochastic volatility models
by Ole E. BarndorffNielsen & Neil Shephard 
Estimating quadratic variation using realised volatility
by Ole E. BarndorffNielsen & Neil Shephard 
Computationallyintensive Econometrics using a Distributed Matrixprogramming Language
by Jurgen A. Doornik & David F. Hendry & Neil Shephard 
Some recent developments in stochastic volatility modelling
by Ole E. BarndorffNielsen & Elisa Nicolato & Neil Shephard 
Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuoustime diffusion processes"
by Siddhartha Chib & Neil Shephard 
Dynamics of tradebytrade price movements: decomposition and models
by Tina Hviid Rydberg & Neil Shephard 
Autoregressive conditional root model
by Anders Rahbek & Neil Shephard 
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
by Ole E. BarndorffNielsen & Neil Shephard 
Likelihoodbased estimation of latent generalised ARCH structures
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard 
Measuring and forecasting financial variability using realised variance with and without a model
by Ole E. BarndorffNielsen & Bent Nielsen & Neil Shephard & Carla Ysusi 
Power Variation and Time Change
by Ole E. BarndorffNielsen & Neil Shephard 
Impact of jumps on returns and realised variances: econometric analysis of timedeformed Levy processes
by Ole E. BarndorffNielsen & Neil Shephard 
Power and bipower variation with stochastic volatility and jumps
by Ole E. BarndorffNielsen & Neil Shephard 
Power variation & stochastic volatility: a review and some new results
by Ole E. BarndorffNielsen & Svend Erik Graversen & Neil Shephard 
Econometrics of testing for jumps in financial economics using bipower variation
by Ole E. BarndorffNielsen & Neil Shephard 
Likelihood Analysis of NonGaussian ParameterDriven Models.
by Shephard, N. & Pitt, M. K. 
Aggregation and Model Construction for Volatility Models
by BarndorfNielsen, O. E. & Shephard, N. 
Likelihood INference for Discretely Observed Nonlinear Diffusions
by Elerian, O. & Chib, S. & Shephard, N. 
NonGaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics.
by BarndorffNielsen, O. E. & Shepard, N. 
Stochastic volatility: likelihood inference and comparison with ARCH models.
by Sangjoon Kim, Neil Shephard & Siddhartha Chib 
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model
by Neil Shephard 
Filtering via simulation: auxiliary particle filters
by Michael K. Pitt & Neil Shephard 
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
by Sangjoon Kim & Neil Shephard & Siddhartha Chib 
Bayesian Analysis of Stochastic Volatility Models: Comment.
by Shephard, Neil & Kim, Sangjoon 
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.
by Harvey, Andrew C. & Shephard, Neil 
Numerical Techniques for Maximum Likelihood Estimation of ContinuousTime Diffusion Processes: Comment.
by Chib, Siddhartha & Shephard, Neil 
Likelihood analysis of a firstorder autoregressive model with exponential innovations
by B. Nielsen & N. Shephard 
Likelihood Inference for Discretely Observed Nonlinear Diffusions.
by Elerain, Ola & Chib, Siddhartha & Shephard, Neil 
Simulationbased likelihood inference for limited dependent processes
by AURORA MANRIQUE & NEIL SHEPHARD 
Foreword by the Editors
by DAVID F. HENDRY & NEIL SHEPHARD 
Statistical algorithms for models in state space using SsfPack 2.2
by SIEM JAN KOOPMAN & NEIL SHEPHARD & JURGEN A. DOORNIK 
Estimating quadratic variation using realized variance
by Ole E. BarndorffNielsen & Neil Shephard 
Fitting Nonlinear TimeSeries Models with Applications to Stochastic Variance Models.
by Shephard, Neil 
"Stochastic Volatility with Leverage: Fast Likelihood Inference"
by Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima 
LikelihoodBased Estimation of Latent Generalized ARCH Structures
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard 
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
by Ole E. BarndorffNielsen & Neil Shephard 
Detecting shocks: Outliers and breaks in time series
by Atkinson, A. C. & Koopman, S. J. & Shephard, N. 
Testing the Assumptions Behind the Use of Importance Sampling
by Siem Jan Koopman & Neil Shephard 
Local scale models : State space alternative to integrated GARCH processes
by Shephard, Neil 
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
by Charles S. Bos & Neil Shephard 
A Feasible Central Limit Theory for Realised Volatility Under Leverage
by Ole E. BarndorffNielsen & Neil Shephard 
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
by Ole BarndorffNielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard 
Regular and Modified KernelBased Estimators of Integrated Variance: The Case with Independent Noise
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Markov chain Monte Carlo methods for stochastic volatility models
by Chib, Siddhartha & Nardari, Federico & Shephard, Neil 
Likelihoodbased estimation of latent generalised ARCH structures
by Neil Shephard & Gabriele Fiorentini & Enrique Sentana 
Multipower Variation and Stochastic Volatility
by Ole BarndorffNielsen & Neil Shephard 
Likelihood based inference for diffusion driven models
by Siddhartha Chib & Michael K. Pitt & Neil Shephard 
Stochastic volatility with leverage: fast likelihood inference
by Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima 
Impact of jumps on returns and realised variances: econometric analysis of timedeformed Levy processes
by BarndorffNielsen, Ole E. & Shephard, Neil 
Variation, jumps, market frictions and high frequency data in financial econometrics
by Neil Shephard & Ole E. BarndorffNielsen 
Limit theorems for multipower variation in the presence of jumps
by Ole E. BarndorffNielsen & Neil Shephard & Matthias Winkel 
Limit theorems for bipower variation in financial econometrics
by Ole E. BarndorffNielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard 
Dynamics of TradebyTrade Price Movements: Decomposition and Models
by Tina Hviid Rydberg & Neil Shephard 
Variation, jumps, market frictions and high frequency data in financial econometrics
by Ole E. BarndorffNielsen & Neil Shephard 
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
by Ole E. BarndorffNielsen & Neil Shephard 
Stochastic Volatility
by Neil Shephard 
Designing realised kernels to measure the expost variation of equity prices in the presence of noise
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
A feasible central limit theory for realised volatility under leverage
by Ole E. BarndorffNielsen & Neil Shephard 
Variation, jumps, market frictions and high frequency data in financial econometrics
by Ole E. BarndorffNielsen & Neil Shephard 
Limit theorems for multipower variation in the presence of jumps
by Ole E. BarndorffNielsen & Neil Shephard & Matthias Winkel 
Dynamics of tradebytrade price movements: decomposition and models
by Tina Hviid Rydberg & Neil Shephard 
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
by Ole BARNDORFFNIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD 
Limit theorems for bipower variation in financial econometrics
by Ole E. BarndorffNielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard 
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics
by Ole E. BarndorffNielsen & Neil Shephard 
Likelihood based inference for diffusion driven models
by Siddhartha Chib & Michael K. Pitt & Neil Shephard 
Likelihoodbased estimation of latent generalised ARCH structures
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard 
Regular and Modified KernelBased Estimators of Integrated Variance: The Case with Independent Noise
by OLE E. BARNDORFFNIELSEN & PETER REINHARD HANSEN & ASGER LUNDE & NEIL SHEPHARD 
NonGaussian OU based models and some of their uses in financial economics
by Ole BarndorffNielsen & Neil Shephard 
Multipower Variation and Stochastic Volatility
by Ole E. BarndorffNielsen & Neil Shephard 
Econometrics of testing for jumps in financial economics using bipower variationÂ
by Ole E. BarndorffNielsen & Neil Shephard 
Designing realised kernels to measure the expost variation of equity prices in the presence of noise
by Ole E. BarndorffNielsen & Peter Hansen & Asger Lunde & Neil Shephard 
Likelihood inference for discretely observed nonlinear diffusions
by Ola Elerian & Siddhartha Chib & Neil Shephard 
Subsampling realised kernels
by Ole E. BarndorffNielsen & Peter R. Hansen & Asger Lunde & Neil Shephard 
Analysis of high dimensional multivariate stochastic volatility models
by Chib, Siddhartha & Nardari, Federico & Shephard, Neil 
Subsampling realised kernels
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Subsampling realised kernels
by Neil Shephard & Ole E. BarndorffNielsen 
LIKELIHOODBASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard 
Comment
by BarndorffNielsen, Ole E. & Shephard, Neil 
Stochastic volatility with leverage: Fast and efficient likelihood inference
by Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi 
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
by Ole E. Barndorff‐Nielsen & Neil Shephard 
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
by Ole E. Barndorff‐Nielsen & Neil Shephard 
Measuring downside risk — realised semivariance
by Ole E. BarndorffNielsen & Silja Kinnebrock & Neil Shephard 
Measuring downside risk  realised semivariance
by Ole E. BarndorffNielsen & Silja Kinnebrock & Neil Shephard 
Multivariate realised kernels: consistent positive semidefinite estimators of the covariation of equity prices with noise and nonsynchronous trading
by Neil Shephard & Ole E. BarndorffNielsen & Peter Reinhard Hansen 
Measuring downside riskrealised semivariance
by Ole E. BarndorffNielsen & Silja Kinnebrock & Neil Shephard 
The ACR model: a multivariate dynamic mixture autoregression
by Frédérique Bec & Anders Rahbek & Neil Shephard 
Stochastic Volatility: Origins and Overview
by Neil Shephard & Torben G. Andersen 
Stochastic Volatility: Origins and Overview
by Neil Shephard & Torben G. Andersen 
Multivariate realised kernels: consistent positive semidefinite estimators of the covariation of equity prices with noise and nonsynchronous trading
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Fitting vast dimensional timevarying covariance models
by Neil Shephard & Kevin Sheppard & Robert F. Engle 
Multivariate realised kernels: consistent positive semidefinite estimators of the covariation of equity prices with noise and nonsynchronous trading
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
The ACR Model: A Multivariate Dynamic Mixture Autoregression*
by Frédérique Bec & Anders Rahbek & Neil Shephard 
Fitting vast dimensional timevarying covariance models
by Robert Engle & Neil Shephard & Kevin Shepphard 
Stochastic Volatility: Origins and Overview
by Neil Shephard & Torben Andersen 
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
by Thomas Flury & Neil Shephard 
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
by BarndorffNielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil 
Multivariate Realised Kernels: Consistent Positive SemiDefinite Estimators of the Covariation of Equity Prices with Noise and NonSynchronous Trading
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Testing the assumptions behind importance sampling
by Koopman, Siem Jan & Shephard, Neil & Creal, Drew 
Multivariate realised kernels: consistent positive semidefinite estimators of the covariation of equity prices with noise and nonsynchronous trading
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Modelling and measuring volatility
by Ole E. BarndorffNielsen & Neil Shephard 
Distribution of the ML Estimator of an MA(1) and a local level model
by Shephard, Neil 
The Autoregressive Conditional Root (ACR) Model
by Frédérique Bec & Anders Rahbek & Neil Shephard 
From Characteristic Function to Distribution Function: A Simple Framework for the Theory
by Shephard, N. G. 
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Realising the future: forecasting with high frequency based volatility (HEAVY) models
by Neil Shephard & Kevin Sheppard 
Income contingent tuition fees for universities
by Neil Shephard 
Learning and filtering via simulation: smoothly jittered particle filters
by Neil Shephard & Thomas Flury 
Realized kernels in practice: trades and quotes
by O. E. BarndorffNielsen & P. Reinhard Hansen & A. Lunde & N. Shephard 
Nuisance parameters, composite likelihoods and a panel of GARCH models
by Neil Shephard & Kevin Sheppard 
Nuisance parameters, composite likelihoods and a panel of GARCH models
by Cavit Pakel & Neil Shephard & Kevin Sheppard 
Income contingent tuition fees for universities
by Neil Shephard 
Realising the future: forecasting with high frequency based volatility (HEAVY) models
by Neil Shephard & Kevin Sheppard 
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425449, 2007. )
by Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima 
Nuisance parameters, composite likelihoods and a panel of GARCH models
by Cavit Pakel & Neil Shephard & Kevin Sheppard 
Deferred fees for universities
by Neil Shephard 
Income contingent tuition fees for universities
by Neil Shephard 
Discretevalued Levy processes and low latency financial econometrics
by Neil Shephard & David G. Pollard & Ole E. BarndorffNielsen 
Realising the future: forecasting with highfrequencybased volatility (HEAVY) models
by Neil Shephard & Kevin Sheppard 
Discretevalued Levy processes and low latency financial econometrics
by Ole E. BarndorffNielsen & David G. Pollard & Neil Shephard 
Submission to the review on “Higher Education Funding and Student Finance”
by Neil Shephard 
Realising the future: forecasting with high frequency based volatility (HEAVY) models
by Neil Shephard & Kevin Sheppard 
Parallel Computation in Econometrics: A Simplified Approach
by Jurgen A. Doornik & Neil Shephard & David F. Hendry 
Multivariate Rotated ARCH Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard 
Martingale unobserved component models
by Neil Shephard 
Limit theorems for multipower variation in the presence of jumps
by BarndorffNielsen, Ole E. & Shephard, Neil & Winkel, Matthias 
Multivariate high‐frequency‐based volatility (HEAVY) models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard 
Multivariate realised kernels: Consistent positive semidefinite estimators of the covariation of equity prices with noise and nonsynchronous trading
by BarndorffNielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil 
Tabulation of Farebrother's Test for Linear Restrictions
by Shephard, Neil 
Integervalued Lévy processes and low latency financial econometrics
by Ole E. BarndorffNielsen & David G. Pollard & Neil Shephard 
Subsampling realised kernels
by BarndorffNielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil 
Multivariate HighFrequencyBased Volatility (HEAVY) Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard 
Realized Volatility
by Meddahi, Nour & Mykland, Per & Shephard, Neil 
Robust inference on parameters via particle filters and sandwich covariance matrices
by Arnaud Doucet & Neil Shephard 
Econometric analysis of multivariate realised QML: efficient positive semidefinite estimators of the covariation of equity prices
by Neil Shephard & Dacheng Xiu 
Basics of Levy processes
by Ole E. BarndorffNielsen & Neil Shephard 
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
by Flury, Thomas & Shephard, Neil 
Efficient and feasible inference for the components of financial variation using blocked multipower variation
by Per A. Mykland & Neil Shephard & Kevin Sheppard 
Integervalued Lévy processes and low latency financial econometrics
by Ole E. BarndorffNielsen & David G. Pollard & Neil Shephard 
Some recent developments in stochastic volatility modelling
by Ole BarndorffNielsen & Elisa Nicolato & Neil Shephard 
DEFERRED FEES FOR UNIVERSITIES
by Neil Shephard 
Martingale unobserved component models
by Neil Shephard 
Multivariate HighFrequencyBased Volatility (HEAVY) Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard 
Multivariate Rotated ARCH models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard 
Inference and forecasting in the ageperiodcohort model with unknown exposure with an application to mesothelioma mortality
by Neil Shephard 
Robust inference on parameters via particle filters and sandwich covariance matrices
by Neil Shephard & Arnaud Doucet 
Econometric analysis of multivariate realised QML: efficient positive semidefinite estimators of the covariation of equity prices
by Neil Shephard & Dacheng Xiu 
Efficient and feasible inference for the components of financial variation using blocked multipower variation
by Neil Shephard & Kevin Sheppard 
Basics of Levy processes
by Neil Shephard & Ole E. BarndorffNielsen 
Likelihood Inference for ExponentialTrawl Processes
by Neil Shephard & Justin Yang & Mark Podolskij & Robert Stelzer & S. Thorbjornsen 
Multivariate Stochastic Variance Models
by Andrew Harvey & Esther Ruiz & Neil Shephard 
Multivariate rotated ARCH models
by Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin 
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form
by Charles S. Bos & Neil Shephard 
Multivariate realised kernels: Consistent positive semidefinite estimators of the covariation of equity prices with noise and nonsynchronous trading
by Ole E. BarndorffNielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard 
Likelihoodbased estimation of latent generalised ARCH structures
by Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil 
Integervalued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
by Ole E. BarndorffNielsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart 
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
by Sangjoon Kim & Neil Shephard & Siddhartha Chib 
Moment conditions and Bayesian nonparametrics
by Bornn, Luke & Neil Shephard & Reza Solgi 
Normal Modified Stable Processes
by Neil Shephard & Ole E. BarndorffNielsen 
Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession
by Jack Britton & Neil Shephard & Anna Vignoles 
How English domiciled graduate earnings vary with gender, institution attended, subject and socioeconomic background
by Lorraine Deardon & Neil Shephard & Jack Britton & Anna Vignoles 
Statistical Algorithms for Models in State Space Using SsfPack 2.2
by Koopman, S. J. M. & Shephard, N. & Doornik, J. A. 
Estimation and Testing of Stochastic Variance Models
by Andrew C. Harvey & N. G. Shephard 
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
by N. G. Shephard & A. C. Harvey 
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.2836.)
by Siem Jan Koopman & N. G. Shephard 
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
by Asger Lunde & Neil Shephard & Kevin Sheppard 
Continuous time analysis of fleeting discrete price moves
by Neil Shephard & Justin J. Yang 
How English domiciled graduate earnings vary with gender, institution attended, subject and socioeconomic background
by Jack Britton & Lorraine Dearden & Neil Shephard & Anna Vignoles 
Continuous time analysis of fleeting discrete price moves
by Neil Shephard & Justin J. Yang 
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
by Shephard, Neil & Xiu, Dacheng 
Continuous Time Analysis of Fleeting Discrete Price Moves
by Neil Shephard & Justin J. Yang 
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models
by Neil Shephard & Ole E. BarndorffNielsen 
Deletion Diagnostics and Transformations for Time Series
by A. C. Atkinson & N. G. Shephard 
A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181202.)
by N. G. Shephard 
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
by Charles Bos & Neil Shephard 
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
by Ole E. Barndorff‐Nielsen & Neil Shephard 
LikelihoodBased Estimation of Latent Generalised ARCH Structures
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard 
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
by Michael K. Pitt & Neil Shephard 
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates
by Jack Britton & Lorraine Dearden & Neil Shephard & Anna Vignoles 
A Nonparametric Dynamic Causal Model for Macroeconometrics
by Ashesh Rambachan & Neil Shephard 
Moment conditions and Bayesian non‐parametrics
by Luke Bornn & Neil Shephard & Reza Solgi 
A comparison of sample survey measures of earnings of English graduates with administrative data
by Jack Britton & Neil Shephard & Anna Vignoles
editor of:

State Space and Unobserved Component Models
edited by Harvey, Andrew & Koopman, Siem Jan & Shephard, Neil 
Stochastic Volatility: Selected Readings
edited by Shephard, Neil 
The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
edited by Castle, Jennifer & Shephard, Neil 
State Space and Unobserved Component Models
edited by Harvey, Andrew & Koopman, Siem Jan & Shephard, Neil 
The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
edited by Castle, Jennifer & Shephard, Neil 
Unobserved Components and Time Series Econometrics
edited by Koopman, Siem Jan & Shephard, Neil