Research Interests : Applied and theoretical econometrics, statistics and finance.
Neil Shephard is Professor of Economics in the Department of Economics, University of Oxford. He is also a Professorial Fellow in Economics at Nuffield College, Oxford.
Neil Shephard was born in 1964 in Plymouth, UK, and brought up in Norfolk, a rural county within England. He holds a B.A. in Economics and Statistics (first class awarded with distinction) from the University of York and a M.Sc. in Statistics (awarded with distinction) and Ph.D. from the London School of Economics.
He was elected a Fellow of the Econometric Society in 2004, a Fellow of the British Academy in 2006, a Fellow of the Society for Financial Econometrics in 2012 and a Fellow of Nuffield College in 1991. He received an honourary doctorate in economics from Aarhus University in 2009. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.
His research interests are mainly focused on theoretical and applied econometrics with a substantial interest in statistics. He has been a leader in the development of the econometrics of stochastic volatility as well as simulation based inference. He is credited with important contributions to the development of particle filters (Bayesian sequential learning), including their first use in economics. At the turn of the century his work with Ole E. Barndorff-Nielsen (in parallel with a team in the US lead by T. Andersen, T. Bollerslev and F. Diebold) formalised the mainstream use of high frequency financial data in economics to non-parametrically measure volatility and the importannce of jumps. During his career he has introduced a number of widely used methods and techniques including the auxiliary particle filter, multipower variation, Barndorff-Nielsen-Shephard (BNS) models, realised kernels and aspects of realised volatility.
During his time at Oxford University he cofounded the Masters in Financial Economics and founded the Oxford-Man Institute, which he directed from 2007-2011.