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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by Steve Goodacre, Kimberley Horspool, Neil Shephard, Daniel Pollard, Beverley J Hunt, Gordon Fuller, Catherine Nelson-Piercy, Marian Knight, Steven Thomas, Fiona Lecky, Judith Cohen
Published 2018-08-01
Get full textPublished 2018-08-01
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by Steven A Julious, Michelle J Horspool, Sarah Davis, Mike Bradburn, Paul Norman, Neil Shephard, Cindy L Cooper, W Henry Smithson, Jonathan Boote, Heather Elphick, Amanda Loban, Matthew Franklin, Wei Sun Kua, Robin May, Jennifer Campbell, Rachael Williams, Saleema Rex, Oscar Bortolami
Published 2016-12-01
Get full textPublished 2016-12-01
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by Steven Brown, Jim Tiernan, Katie Biggs, Daniel Hind, Neil Shephard, Mike Bradburn, Allan Wailoo, Abualbishr Alshreef, Lizzie Swaby, Angus Watson, Simon Radley, Oliver Jones, Paul Skaife, Anil Agarwal, Pasquale Giordano, Marc Lamah, Mark Cartmell, Justin Davies, Omar Faiz, Karen Nugent, Andrew Clarke, Angus MacDonald, Phillip Conaghan, Paul Ziprin, Rohit Makhija
Published 2016-11-01
Get full textPublished 2016-11-01
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