Neil Shephard

Neil Shephard (born 8 October 1964), FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University.

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. Provided by Wikipedia
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  1. 1
    The path of least resistance: A case of cervical stenosis and uterocutaneous fistula
    by Steven Neil Shephard, Sunday Jenner Lengmang
    Published 2015-10-01
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  2. 2
    Closing five Emergency Departments in England between 2009 and 2011: the closED controlled interrupted time-series analysis
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  3. 3
    PLEASANT: Preventing and Lessening Exacerbations of Asthma in School-age children Associated with a New Term – a cluster randomised controlled trial and economic evaluation
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    The HubBLe Trial: haemorrhoidal artery ligation (HAL) versus rubber band ligation (RBL) for symptomatic second- and third-degree haemorrhoids: a multicentre randomised controlled trial and health-economic evaluation
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