Neil Shephard

Neil Shephard
Born (1964-10-08) 8 October 1964 (age 60)
EducationUniversity of York
London School of Economics
Known forauxiliary particle filter, realised variance, bipower variation
SpouseDr Heather Bell
AwardsGuy Medal in Silver, 2017
Richard Stone Prize, 2012
Scientific career
Fieldseconometrics, statistics, finance
InstitutionsLondon School of Economics
Nuffield College, Oxford
Harvard University
Websitescholar.harvard.edu/shephard/home

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.