Access Statistics for Neil Shephard

Author contact details at EconPapers.

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 0 2 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 3 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 1 9 349 1 5 23 773
Basics of Levy processes 0 0 3 59 2 2 14 190
Basics of Levy processes 0 1 2 107 0 2 3 251
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models 0 0 0 146 0 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 0 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 1 2 2 17
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 0 3 167
Deletion Diagnostics and Transformations for Time Series 0 0 0 0 1 1 1 10
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 3 88 1 3 10 327
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise 0 0 1 133 3 6 8 532
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 0 0 2 321 0 0 5 822
Dynamics of trade-by-trade price movements: decomposition and models 0 1 1 136 0 1 2 308
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics 0 0 1 367 0 1 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 1 21 1 1 2 152
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 3 4 5 150
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics 0 0 0 411 1 1 3 755
Econometric analysis of realised volatility and its use in estimating stochastic volatility models 0 0 2 529 0 2 7 1,291
Econometrics of testing for jumps in financial economics using bipower variation 0 1 2 472 0 1 5 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 0 2 329 0 0 2 986
Estimation and Testing of Stochastic Variance Models 0 0 0 0 0 0 9 213
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 0 3 49
Filtering via simulation: auxiliary particle filters 0 1 1 772 0 2 4 1,998
Fitting vast dimensional time-varying covariance models 0 0 2 356 1 3 9 829
Fitting vast dimensional time-varying covariance models 0 1 1 125 2 4 7 288
Generalized linear autoregressions 1 2 6 522 1 2 6 1,172
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 1 1 3 62 2 3 10 160
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background 1 1 2 81 1 1 9 264
How accurate is the asymptotic approximation to the distribution of realised volatility? 0 0 2 398 2 4 7 1,121
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 22 0 0 0 101
Income contingent tuition fees for universities 0 0 1 32 0 0 8 134
Income contingent tuition fees for universities 0 0 0 38 1 2 3 117
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 1 1 1 701
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form 1 1 1 183 2 3 3 622
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 4 766
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 0 1 2 143
Learning and filtering via simulation: smoothly jittered particle filters 0 0 0 138 0 1 7 344
Likelihood Analysis of Non-Gaussian Parameter-Driven Models 0 0 0 0 0 1 2 932
Likelihood INference for Discretely Observed Non-linear Diffusions 0 0 0 1 2 3 3 1,317
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 0 1 3 600
Likelihood based inference for diffusion driven models 0 0 0 183 1 1 1 459
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 1 1 2 24
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 2 0 0 4 43
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 0 0 308
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 159 1 1 1 483
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 4 5 545
Limit theorems for multipower variation in the presence of jumps 0 0 0 148 0 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 0 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 1 1 3 963
Measuring downside risk - realised semivariance 0 0 1 112 1 1 7 339
Measuring downside risk — realised semivariance 0 0 1 168 1 2 10 376
Measuring downside risk-realised semivariance 0 0 2 348 1 1 5 1,239
Modelling and measuring volatility 0 0 2 259 0 3 9 374
Moment conditions and Bayesian nonparametrics 0 0 1 36 0 0 3 43
Multipower Variation and Stochastic Volatility 0 0 0 72 1 1 1 272
Multipower Variation and Stochastic Volatility 0 0 0 116 0 0 1 298
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 1 74 0 1 4 340
Multivariate High-Frequency-Based Volatility (HEAVY) Models 0 0 2 148 1 1 4 302
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 0 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 0 1 10 1 1 3 96
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
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 150 0 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 2 3 384
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 0 0 31 2 3 4 199
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 1 1 2 333
Non-Gaussian OU based models and some of their uses in financial economics 0 0 1 220 0 0 4 490
Normal Modified Stable Processes 0 0 3 43 0 1 7 116
Normal modified stable processes 0 0 1 186 2 3 4 560
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 21 1 2 7 124
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 98 0 0 8 334
Nuisance parameters, composite likelihoods and a panel of GARCH models 0 0 0 65 0 0 2 199
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 1 4 8 2,013
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 0 1 3 778
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 0 1 105 0 2 3 323
Realising the future: forecasting with high frequency based volatility (HEAVY) models 0 0 0 76 0 0 1 213
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 96 0 1 3 365
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise 0 0 0 116 0 1 5 439
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 0 20 0 0 0 126
Robust inference on parameters via particle filters and sandwich covariance matrices 0 0 1 36 1 3 4 117
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 0 0 6 1,720 0 2 11 4,401
Some recent developments in stochastic volatility modelling 0 0 1 397 1 1 5 812
Statistical Algorithms for Models in State Space Using SsfPack 2.2 0 0 0 22 0 0 0 110
Stochastic Volatility 0 0 4 572 1 3 13 982
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 0 171 1 1 2 381
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 1 2 4 98
Stochastic Volatility: Origins and Overview 0 0 0 247 1 2 4 315
Stochastic Volatility: Origins and Overview 0 0 0 111 1 2 3 227
Stochastic Volatility: Origins and Overview 0 0 0 341 0 0 1 693
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 1 2 6 916
Stochastic volatility: likelihood inference and comparison with ARCH models 0 0 1 674 1 1 2 1,430
Stochastic volatility: likelihood inference and comparison with ARCH models 0 1 1 1,246 2 3 6 3,046
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 1 1 1 255
Subsampling realised kernels 1 1 1 76 2 2 3 337
Subsampling realised kernels 0 0 0 53 0 0 1 240
Testing the Assumptions Behind the Use of Importance Sampling 0 0 0 105 1 1 3 494
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 1 1 6 771
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 3 3 4 120
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 0 399 2 2 16 1,009
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 1 1 6 819
When do common time series estimands have nonparametric causal meaning? 0 0 1 64 2 3 10 178
Total Working Papers 5 15 97 23,189 74 154 520 68,073


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 1 1 1 21
Analysis of high dimensional multivariate stochastic volatility models 0 0 1 278 1 1 8 658
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models 0 0 0 0 0 0 2 7
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS 0 0 0 115 1 1 3 281
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 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 0 1 236 1 3 6 725
Detecting shocks: Outliers and breaks in time series 0 0 2 137 0 1 3 351
Distribution of the ML Estimator of an MA(1) and a local level model 0 0 0 12 0 1 1 51
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 0 0 0 0 0 1 15 342
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 0 0 1 279 1 3 9 814
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice 0 0 3 43 0 1 9 95
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 0 1 3 136
Econometric analysis of realized volatility and its use in estimating stochastic volatility models 0 3 13 408 0 14 64 1,308
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 0 0 0 343 1 1 8 1,032
Estimating quadratic variation using realized variance 0 0 1 618 1 1 6 1,843
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns 0 0 0 0 2 3 12 921
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 0 1 3 167
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes 0 0 1 73 0 0 2 266
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 1 1 1 48 1 1 1 175
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 1 1 1 148
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates 0 0 0 4 0 1 3 19
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS 0 0 0 54 0 1 1 305
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 2 2 6 55
Local scale models: State space alternative to integrated GARCH processes 0 0 0 201 0 1 3 418
Markov chain Monte Carlo methods for stochastic volatility models 0 2 9 658 1 4 16 1,359
Moment conditions and Bayesian non‐parametrics 0 0 0 4 0 0 0 21
Multivariate Stochastic Variance Models 0 0 4 1,457 3 6 16 3,510
Multivariate high‐frequency‐based volatility (HEAVY) models 0 0 0 0 2 3 4 143
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 0 1 3 128 1 4 13 438
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 0 3 365 1 2 7 753
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 2 2 6 31
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models 0 0 4 260 2 2 12 799
Realized Volatility 0 0 0 44 0 0 2 125
Realized kernels in practice: trades and quotes 0 0 0 171 1 1 14 592
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 0 1 5 59
Statistical algorithms for models in state space using SsfPack 2.2 0 0 0 1 0 2 7 1,288
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 0 0 2 835 1 8 26 2,053
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 1 9 212 2 4 19 569
Subsampling realised kernels 0 0 0 52 0 0 0 218
Testing the assumptions behind importance sampling 0 0 0 67 0 2 4 274
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 1 91 0 3 24 367
Total Journal Articles 1 8 65 7,923 29 88 358 25,908


Statistics updated 2025-09-05