Neil Shephard

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

Business, Economics, Finance +17

Filtering via Simulation: Auxiliary Particle Filters

M. Pitt, Neil Shephard · Journal of the American Statistical Association · 1999 · 2.3K citations · Full text

Computing, Physics, Statistics +13

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

Business, Economics, Finance +16

Multivariate Stochastic Variance Models

Andrew Harvey, Esther Ruiz, Neil Shephard · The Review of Economic Studies · 1994 · 1.4K citations · Full text

Business, Business Economics, Economics +11

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrica · 2008 · 1.3K citations

Social Sciences, Economics, Finance +17