Neil Shephard (born 8 October 1964), FBA, is an

econometrician Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8� ...

, currently Frank B. Baird Jr., Professor of Science in the Department of

Economics Economics () is the social science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services. Economics focuses on the behaviour and intera ...

and the Department of

Statistics Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...

Harvard University Harvard University is a private Ivy League research university in Cambridge, Massachusetts. Founded in 1636 as Harvard College and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of higher le ...

. His most well known contributions are: (i) the formalisation of the econometrics of realised volatility, which nonparametrically estimates the volatility of asset prices, (ii) the introduction of the auxiliary particle filter (signal extraction), (iii) the nonparametric identification of jumps in financial economics, through multipower variation, (iv) stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes, known as 'Barndorff-Nielsen-Shephard' models.

Early life and education

Neil Shephard was born in Plymouth, England, but moved to Norfolk, England, aged one. His mother was Tydfil Shephard (1930-1972), who was a high school teacher. His father is Tom Shephard, who was a Norfolk high school head. Since 1975

Gillian Shephard Gillian Patricia Shephard, Baroness Shephard of Northwold, (''née'' Watts; born 22 January 1940), is a British Conservative politician who was the Member of Parliament (MP) for South West Norfolk from 1987 to 2005. Shephard served as a Cabine ...

has been his step-mother. He attended the

Marshland High School Marshland High School is a mixed secondary school in the King's Lynn and West Norfolk District of Norfolk, England, and in the village of West Walton (near Wisbech). Description Previously a foundation school administered by Norfolk County ...

West Walton, King Edward VII Grammar School in King's Lynn and 1981-1983

City of Norwich School The City of Norwich School, more commonly known as CNS, is a coeducational secondary school and sixth form with academy status in Norwich, England. History In 1910, the Education Committee decided to merge the King Edward VI Middle School in ...

(he studied pure mathematics & statistics, economics and politics at A-level). He studied economics and statistics as an undergraduate at the

University of York , mottoeng = On the threshold of wisdom , established = , type = Public research university , endowment = £8.0 million , budget = £403.6 million , chancellor = Heather Melville , vice_chancellor = Charlie Jeffery , students ...

in the UK 1983-1986, awarded a first class degree with distinction. He did his M.Sc. (awarded in 1987, with distinction) and Ph.D. (examined in 1989 and graduated in 1990) at the

LSE LSE may refer to: Computing * LSE (programming language), a computer programming language * LSE, Latent sector error, a media assessment measure related to the hard disk drive storage technology * Language-Sensitive Editor, a text editor used on ...

Academic career

He was a lecturer in statistics at the

from 1988 to 1993. He moved to

Nuffield College, Oxford Nuffield College () is one of the constituent colleges of the University of Oxford in England. It is a graduate college and specialises in the social sciences, particularly economics, politics and sociology. Nuffield is one of Oxford's newer co ...

in 1991 to join the economics group as the Gatsby Prize Research Fellow in Econometrics (funded by the

Gatsby Foundation The Gatsby Charitable Foundation is an endowed grant-making trust, based in London, founded by David Sainsbury in 1967. The organisation is one of the Sainsbury Family Charitable Trusts, set up to provide funding for charitable causes. Although the ...

). In 1993 he became an Official Fellow in Economics at

. He has been Professor of Economics and of Statistics at

since 2013. He was elected a Fellow of the

British Academy The British Academy is the United Kingdom's national academy for the humanities and the social sciences. It was established in 1902 and received its royal charter in the same year. It is now a fellowship of more than 1,000 leading scholars span ...

in 2006, a Fellow of the

Econometric Society The Econometric Society is an international society of academic economists interested in applying statistical tools to their field. It is an independent organization with no connections to societies of professional mathematicians or statisticians. ...

in 2004. He was awarded an honorary doctorate in economics by

Aarhus University Aarhus University ( da, Aarhus Universitet, abbreviated AU) is a public research university with its main campus located in Aarhus, Denmark. It is the second largest and second oldest university in Denmark. The university is part of the Coimbra Gr ...

in 2009, the 2012 Richard Stone Prize in Applied Econometrics and the 2017 Guy Medal in Silver of the Royal Statistical Society. With

David F. Hendry Sir David Forbes Hendry, FBA CStat (born 6 March 1944) is a British econometrician, currently a professor of economics and from 2001 to 2007 was head of the Economics Department at the University of Oxford. He is also a professorial fellow at ...

he founded the

Econometrics Journal ''The Econometrics Journal'' was established in 1998 by the Royal Economic Society to promote the general advancement and application of econometric methods and techniques to problems of relevance to modern economics. It aims to publish high qualit ...

in 1998. With

Colin Mayer Colin Peter Mayer is the Peter Moores Professor of Management Studies at the Saïd Business School at the University of Oxford. He was the Peter Moores Dean of the Saïd Business School between 2006 and 2011. He is a fellow of the British Academy ...

he founded Oxford University's Masters in Financial Economics. In 2007 he co-founded the

Oxford-Man Institute The Oxford-Man Institute of Quantitative Finance is an interdisciplinary research institute of the University of Oxford, England. The institute was co-founded in June 2007 with Man Group plc. It brings together faculty, post-docs and students ...

, which he directed from 2007 to 2011. He chaired the Statistics Department at Harvard from 2015 to 2022. With Computer Science and Statistical colleagues, he founded Harvard University's Masters in Data Science in 2018 and the Harvard Data Science Initiative.

Publications

Representative articles

*Iavor Bojinov and Neil Shephard (2019) "Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading", Journal of the American Statistical Association, 114, 1665-1682. *Luke Bornn, Neil Shephard and Reza Solgi (2019) "Moment conditions and Bayesian nonparametrics", Journal of Royal Statistical Society, 81, 5-43. * Ole E. Barndorff-Nielsen,

Peter Reinhard Hansen Peter Reinhard Hansen (born June 15, 1968) is the Henry A. Latané Distinguished Professor of Economics at the University of North Carolina at Chapel Hill. He has previously taught at Brown University, Stanford Graduate School of Business, Sta ...

, Asger Lunde, Neil Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536 *G. Fiorentini, Enrique Sentana and Neil Shephard (2004) ''Likelihood-based estimation of latent generalised ARCH structures'', Econometrica, 2004, 72, 1481–1517. *Ole E. Barndorff-Nielsen and Neil Shephard (2004) ''Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics'', Econometrica, 72, 885–925. *Ole E. Barndorff-Nielsen and Neil Shephard (2004) ''Power and bipower variation with stochastic volatility and jumps'' (with discussion) Journal of Financial Econometrics, 2004, 2, 1–48. *Ole E. Barndorff-Nielsen and Neil Shephard (2002) ''Econometric analysis of realised volatility and its use in estimating stochastic volatility models'',

Journal of the Royal Statistical Society The ''Journal of the Royal Statistical Society'' is a peer-reviewed scientific journal of statistics. It comprises three series and is published by Wiley for the Royal Statistical Society. History The Statistical Society of London was founded ...

, Series B, 63, 2002, 253–280. *Ole E. Barndorff-Nielsen and Neil Shephard (2001) ''Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics'', (with discussion), Journal of the Royal Statistical Society, Series B, 63, 2001, 167–241. *Michael K. Pitt and Neil Shephard (1999) ''Filtering via simulation: auxiliary particle filter'', Journal of the American Statistical Association, 94, 1999, 590–599. *Sangjoon Kim,

Siddhartha Chib Siddhartha Chib is an econometrician and statistician, the Harry C. Hartkopf Professor of Econometrics and Statistics at Washington University in St. Louis. His work is primarily in Bayesian statistics, econometrics, and Markov chain Monte Carlo ...

and Neil Shephard (1998) ''Stochastic volatility: likelihood inference and comparison with ARCH models'', Review of Economic Studies, 65, 1998, 361–393. *Andrew C. Harvey, Esther Ruiz and Neil Shephard (1994) ''Multivariate stochastic variance models'', Review of Economic Studies 61, 1994, 247–264.

Edited volumes

*Neil Shephard (2005) ''Stochastic Volatility: Selected Readings'', edited volume,

Oxford University Press Oxford University Press (OUP) is the university press of the University of Oxford. It is the largest university press in the world, and its printing history dates back to the 1480s. Having been officially granted the legal right to print books ...

References

{{DEFAULTSORT:Shephard, Neil 1964 births Living people Fellows of the British Academy Fellows of the Econometric Society Alumni of the University of York Alumni of the London School of Economics Academics of the London School of Economics Fellows of Nuffield College, Oxford Statutory Professors of the University of Oxford Probability theorists 20th-century British economists 21st-century British economists