Neil Shephard

About 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.