Neil Shephard | |
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| Born | 8 October 1964 |
| Education | University of York London School of Economics |
| Known for | auxiliary particle filter, realised variance, bipower variation |
| Spouse | Dr Heather Bell |
| Awards | Guy Medal in Silver, 2017 Richard Stone Prize, 2012 |
| Scientific career | |
| Fields | econometrics, statistics, finance |
| Institutions | London School of Economics Nuffield College, Oxford Harvard University |
| Website | scholar |
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.