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, distribution, and consumption of goods and services. Economics focuses on the behaviour and interactions of economic agents and how economies work. Microeconomics analyzes ...

and the Department of Statistics at

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 high ...

. 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 Cabin ...

has been his step-mother. He attended the Marshland High School West Walton, King Edward VII Grammar School in King's Lynn and 1981-1983 City of Norwich School (he studied pure mathematics & statistics, economics and politics at A-level). He studied economics and statistics as an undergraduate at the University of York 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 ...

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 c ...

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

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 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 he founded the Econometrics Journal in 1998. With Colin Mayer he founded Oxford University's Masters in Financial Economics. In 2007 he co-founded the Oxford-Man Institute, 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