Neil Shephard
| Neil Shephard | |
|---|---|
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| Born | 1964 Plymouth, UK |
| Education |
University of York London School of Economics Nuffield College, Oxford Harvard University |
| Occupation | Professor of Economics and Statistics Harvard University |
| Known for | auxiliary particle filter, realized variance, multipower variation |
Neil Shephard (born 8 October 1964), FBA, is a British econometrician, currently Professor of Economics and of Statistics at Harvard University.
He studied economics and statistics as an undergraduate at the University of York (UK) graduating in 1986 and did his M.Sc. and Ph.D. (awarded in 1990) at the LSE where he was a faculty lecturer from 1988 to 1993 in statistics. He moved to Nuffield College, Oxford in 1991, originally as the Gatsby Research Fellow in Econometrics. He became an Official Fellow in Economics in 1993, a position he held until 2006 when he was appointed to a statutory professorship in economics at Oxford University. He was Director of the Oxford Financial Research Centre from 2006 to 2007 and with Colin Mayer (Saïd Business School, Oxford) founded Oxford University's Masters in Financial Economics (MFE). In 2007 he founded the Oxford-Man Institute, which he directed from 2007 to 2011. He moved to Harvard University in 2013.
He was elected a Fellow of the British Academy in 2006, a Fellow of the Econometric Society in 2004 and a Fellow of Nuffield College, Oxford in 1991. He was awarded an honorary doctorate by Aarhus University in 2009, the 2012 Richard Stone Prize in Applied Econometrics and the 2017 Guy Medal in Silver of the Royal Statistical Society.
His most well known contributions are: (i) the formalisation of the econometrics of realized 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) the development of realized kernels, which extends realized volatility to nonparametrically deal with market microstructure effects.
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