Access Statistics for Neil Shephard

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 93 0 1 1 361
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 1 3 6 793
A Feasible Central Limit Theory for Realised Volatility Under Leverage 0 1 1 125 0 1 2 614
A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) 0 0 0 0 0 0 0 3
A feasible central limit theory for realised volatility under leverage 0 1 1 92 0 1 2 363
Aggregation and Model Construction for Volatility Models 0 0 0 1 0 0 5 1,017
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models 0 0 0 199 0 0 0 699
Autoregressive conditional root model 0 0 0 190 0 0 0 850
BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time 0 2 10 349 2 6 23 772
Basics of Levy processes 0 0 3 59 0 1 15 188
Basics of Levy processes 1 1 2 107 1 2 3 251
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models 0 0 0 146 1 1 3 340
Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes" 0 0 0 139 0 0 1 646
Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession 0 0 0 10 0 1 2 65
Computationally-intensive Econometrics using a Distributed Matrix-programming Language 0 0 0 181 0 0 0 904
Continuous time analysis of fleeting discrete price moves 0 0 0 2 0 1 1 16
Continuous time analysis of fleeting discrete price moves 0 0 0 23 0 0 2 8
Deferred fees for universities 0 0 0 37 0 1 3 167
Deletion Diagnostics and Transformations for Time Series 0 0 0 0 0 0 0 9
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 88 1 2 9 326
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 133 3 3 5 529
Discrete-valued Levy processes and low latency financial econometrics 0 0 0 106 0 0 4 259
Discrete-valued Levy processes and low latency financial econometrics 0 0 1 41 0 0 2 87
Dynamics of trade-by-trade price movements: decomposition and models 1 1 1 136 1 1 2 308
Dynamics of trade-by-trade price movements: decomposition and models 0 0 2 321 0 1 5 822
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 1 1 367 1 2 3 1,275
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models 0 0 1 30 0 0 2 135
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 1 1 2 147
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 1 21 0 0 1 151
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 0 1 2 754
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 2 529 2 2 7 1,291
Econometrics of testing for jumps in financial economics using bipower variation 0 2 2 472 0 3 6 1,142
Econometrics of testing for jumps in financial economics using bipower variation 0 0 0 252 0 1 3 598
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 0 20 0 0 1 102
Efficient and feasible inference for the components of financial variation using blocked multipower variation 0 0 1 13 0 0 3 93
Estimating quadratic variation using realised volatility 0 1 2 329 0 1 2 986
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 0 10 213
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) 0 0 0 0 0 1 3 49
Filtering via simulation: auxiliary particle filters 0 1 1 772 1 2 4 1,998
Fitting vast dimensional time-varying covariance models 0 2 2 356 1 4 8 828
Fitting vast dimensional time-varying covariance models 0 1 1 125 0 2 5 286
Generalized linear autoregressions 1 2 6 521 1 2 7 1,171
Higher order variation and stochastic volatility models 0 0 0 95 0 0 0 284
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 1 2 61 1 2 9 158
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 0 0 1 80 0 0 9 263
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 2 398 1 2 5 1,119
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 0 308 0 0 1 684
Income contingent tuition fees for universities 0 0 0 38 0 1 2 116
Income contingent tuition fees for universities 0 0 0 22 0 0 0 101
Income contingent tuition fees for universities 0 0 1 32 0 1 8 134
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality 0 0 1 26 0 0 2 80
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 0 275 0 0 0 700
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form 0 0 0 182 1 1 1 620
Integer-valued Lévy processes and low latency financial econometrics 0 0 0 78 0 0 1 166
Integrated OU Processes 0 0 1 315 1 2 3 765
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 1 1 2 143
Learning and filtering via simulation: smoothly jittered particle filters 0 0 0 138 1 1 7 344
Likelihood Analysis of Non-Gaussian Parameter-Driven Models 0 0 0 0 1 1 2 932
Likelihood INference for Discretely Observed Non-linear Diffusions 0 0 0 1 1 1 1 1,315
Likelihood Inference for Exponential-Trawl Processes 0 0 0 14 0 0 0 6
Likelihood analysis of non-Gaussian parameter driven models 0 0 0 184 1 1 3 600
Likelihood based inference for diffusion driven models 0 0 0 183 0 0 0 458
Likelihood based inference for diffusion driven models 0 0 0 114 0 0 1 298
Likelihood inference for discretely observed non-linear diffusions 0 0 0 141 0 0 4 427
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 0 1 23
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 0 0 4 43
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 159 0 0 0 482
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 0 1 247
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 0 1 308
Limit theorems for bipower variation in financial econometrics 0 0 0 95 0 0 2 313
Limit theorems for bipower variation in financial econometrics 0 0 0 186 2 2 3 543
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 1 1 2 388
Limit theorems for multipower variation in the presence of jumps 0 0 0 41 0 0 2 202
Martingale unobserved component models 0 0 0 76 0 2 4 182
Martingale unobserved component models 0 0 0 42 0 1 2 136
Measuring and forecasting financial variability using realised variance with and without a model 0 0 2 199 0 0 2 962
Measuring downside risk - realised semivariance 0 0 1 112 0 0 8 338
Measuring downside risk — realised semivariance 0 0 1 168 0 1 9 375
Measuring downside risk-realised semivariance 0 0 2 348 0 0 4 1,238
Modelling and measuring volatility 0 0 3 259 0 4 10 374
Moment conditions and Bayesian nonparametrics 0 0 1 36 0 0 3 43
Multipower Variation and Stochastic Volatility 0 0 0 72 0 0 0 271
Multipower Variation and Stochastic Volatility 0 0 0 116 0 0 1 298
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 1 2 148 0 1 3 301
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 1 74 1 1 4 340
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading 0 0 0 71 0 0 3 257
Multivariate Rotated ARCH Models 0 0 1 33 1 1 2 242
Multivariate Rotated ARCH models 0 0 0 42 0 0 0 96
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 1 10 0 1 3 95
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 1 1 2 425
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 90 1 1 2 383
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 1 1 2 197
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 49 0 1 2 208
Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics 0 0 0 2 0 0 2 332
Non-Gaussian OU based models and some of their uses in financial economics 0 0 1 220 0 1 4 490
Normal Modified Stable Processes 0 1 3 43 0 2 7 116
Normal modified stable processes 0 0 1 186 1 1 2 558
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 65 0 0 2 199
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 21 1 1 6 123
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 98 0 0 10 334
Parallel Computation in Econometrics: A Simplified Approach 0 0 0 201 0 0 1 499
Power Variation and Time Change 0 0 1 168 0 0 2 474
Power and bipower variation with stochastic volatility and jumps 0 0 1 846 2 3 8 2,012
Power variation & stochastic volatility: a review and some new results 0 0 2 265 0 0 2 678
Realised power variation and stochastic volatility models 0 0 1 346 1 1 3 778
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 76 0 0 1 213
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 1 121 0 0 2 366
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 1 1 105 2 3 3 323
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 1 1 6 439
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 1 3 365
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 1 36 2 2 3 116
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 20 0 0 0 126
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 0 0 6 1,720 0 4 12 4,401
Some recent developments in stochastic volatility modelling 0 0 1 397 0 0 4 811
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 22 0 0 0 110
Stochastic Volatility 0 0 5 572 2 2 13 981
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 0 171 0 0 1 380
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) 0 0 0 18 0 1 3 97
Stochastic Volatility: Origins and Overview 0 0 0 247 1 1 3 314
Stochastic Volatility: Origins and Overview 0 0 0 341 0 0 1 693
Stochastic Volatility: Origins and Overview 0 0 0 111 1 2 2 226
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 0 2 5 915
Stochastic volatility: likelihood inference and comparison with ARCH models 0 1 1 1,246 0 1 4 3,044
Stochastic volatility: likelihood inference and comparison with ARCH models 0 0 1 674 0 0 2 1,429
Submission to the review on “Higher Education Funding and Student Finance” 0 0 0 12 0 0 2 53
Subsampling realised kernels 0 0 0 45 0 0 0 254
Subsampling realised kernels 0 0 0 75 0 0 1 335
Subsampling realised kernels 0 0 0 53 0 0 1 240
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 0 0 2 493
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 0 0 5 770
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 0 0 1 117
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model 0 0 0 123 0 0 4 725
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 159 0 0 3 430
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 295 0 1 5 818
Variation, jumps, market frictions and high frequency data in financial econometrics 0 0 0 399 0 0 15 1,007
When do common time series estimands have nonparametric causal meaning? 0 0 3 64 0 2 11 176
Total Working Papers 3 22 98 23,184 48 113 475 67,999


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of sample survey measures of earnings of English graduates with administrative data 0 0 0 6 0 0 0 20
Analysis of high dimensional multivariate stochastic volatility models 0 0 1 278 0 0 7 657
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models 0 0 0 0 0 1 2 7
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS 0 0 0 115 0 1 2 280
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 2 2 212
Comment 0 0 0 8 0 0 0 63
Continuous Time Analysis of Fleeting Discrete Price Moves 0 0 0 0 0 0 1 6
DEFERRED FEES FOR UNIVERSITIES 0 0 0 6 0 0 0 45
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 0 1 1 236 2 3 5 724
Detecting shocks: Outliers and breaks in time series 0 0 2 137 1 1 3 351
Distribution of the ML Estimator of an MA(1) and a local level model 0 0 0 12 1 1 1 51
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 0 0 0 0 1 1 15 342
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 1 1 279 2 5 8 813
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice 0 0 4 43 0 1 10 95
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 1 1 3 136
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 2 5 14 408 8 19 68 1,308
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 0 0 343 0 1 8 1,031
Estimating quadratic variation using realized variance 0 0 1 618 0 0 5 1,842
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 0 5 11 919
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models 0 0 0 191 0 1 1 576
Foreword by the Editors 0 0 0 0 0 0 0 90
From Characteristic Function to Distribution Function: A Simple Framework for the Theory 0 0 1 67 1 1 3 167
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 2 73 0 0 4 266
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 0 0 0 47 0 0 0 174
Integer-valued L�vy processes and low latency financial econometrics 0 0 0 28 0 1 3 83
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes 0 0 1 5 0 0 2 22
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models 0 0 0 62 0 0 0 147
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates 0 0 0 4 1 1 3 19
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 1 54 1 1 2 305
Likelihood Inference for Discretely Observed Nonlinear Diffusions 0 0 0 0 0 0 3 396
Likelihood analysis of a first‐order autoregressive model with exponential innovations 0 0 0 124 0 0 1 508
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 0 0 0 626
Limit theorems for multipower variation in the presence of jumps 0 0 1 7 0 0 4 53
Local scale models: State space alternative to integrated GARCH processes 0 0 0 201 1 1 3 418
Markov chain Monte Carlo methods for stochastic volatility models 1 2 9 658 2 3 15 1,358
Moment conditions and Bayesian non‐parametrics 0 0 0 4 0 0 0 21
Multivariate Stochastic Variance Models 0 0 4 1,457 3 3 13 3,507
Multivariate high‐frequency‐based volatility (HEAVY) models 0 0 0 0 1 1 2 141
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 3 3 128 0 5 13 437
Multivariate rotated ARCH models 0 0 0 19 0 0 0 148
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics 0 1 3 365 1 2 6 752
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 0 145
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL 0 0 1 11 0 0 4 29
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models 0 1 4 260 0 1 14 797
Realized Volatility 0 0 0 44 0 1 2 125
Realized kernels in practice: trades and quotes 0 0 0 171 0 1 13 591
Simulation-based likelihood inference for limited dependent processes 0 0 0 0 0 0 0 251
Some recent developments in stochastic volatility modelling 0 0 2 16 1 1 5 59
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 1 3 7 1,288
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 0 0 3 835 5 9 28 2,052
Stochastic volatility with leverage: Fast and efficient likelihood inference 1 2 9 212 2 3 17 567
Subsampling realised kernels 0 0 0 52 0 0 0 218
Testing the assumptions behind importance sampling 0 0 0 67 2 2 4 274
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 1 91 1 5 28 367
Total Journal Articles 4 16 69 7,922 40 88 351 25,879


Statistics updated 2025-08-05