in 2018 and the Harvard Data Science Initiative. Publications Representative articles Iavor Bojinov and Neil Shephard (2019) "Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading", Journal of the American Statistical Association, 114, 1665-1682. Luke Bornn, Neil Shephard and Reza Solgi (2019) "Moment conditions and Bayesian nonparametrics", Journal of Royal Statistical Society, 81, 5-43. Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536 G. Fiorentini, Enrique Sentana and Neil Shephard (2004) Likelihood-based estimation of latent generalised ARCH structures, Econometrica, 2004, 72, 1481–1517. Ole E. Barndorff-Nielsen and Neil Shephard (2004) Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics, Econometrica, 72, 885–925. Ole E. Barndorff-Nielsen and Neil Shephard (2004) Power and bipower variation with stochastic volatility and jumps (with discussion) Journal of Financial Econometrics, 2004, 2, 1–48. Ole E. Barndorff-Nielsen and Neil Shephard (2002) Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B, 63, 2002, 253–280. Ole E. Barndorff-Nielsen and Neil Shephard (2001) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics, (with discussion), Journal of the Royal Statistical Society, Series B, 63, 2001, 167–241. Michael K. Pitt and Neil Shephard (1999) Filtering via simulation: auxiliary particle filter, Journal of the American Statistical Association, 94, 1999, 590–599. Sangjoon Kim, Siddhartha Chib and Neil Shephard (1998) Stochastic volatility: likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 1998, 361–393. Andrew C. Harvey, Esther Ruiz and Neil Shephard (1994) Multivariate stochastic variance models, Review of Economic Studies 61, 1994, 247–264. Edited volumes Neil Shephard (2005) Stochastic Volatility: Selected Readings, edited volume, Oxford University Press. References 1964 births Living people Fellows of the British Academy Fellows of the Econometric Society Alumni of the University of York Alumni of the London School of Economics Academics of the London School of Economics Fellows of Nuffield College, Oxford Statutory Professors of the University of Oxford Probability theorists 20th-century British economists 21st-century British economists