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. Early life and education Neil Shephard was born in Plymouth, England, but moved to Norfolk, England, at age of one. His mother was Tydfil Shephard (1930-1972), who was a high school teacher. His father is Tom Shephard, who was a Norfolk high school head. Since 1975 Gillian Shephard has been his step-mother. He attended the Marshland High School West Walton, King Edward VII Grammar School in King's Lynn and 1981-1983 City of Norwich School (he studied pure mathematics & statistics, economics and politics at A-level). He studied economics and statistics as an undergraduate at the University of York in the UK 1983-1986, awarded a first class degree with distinction. He did his M.Sc. (awarded in 1987, with distinction) and Ph.D. (examined in 1989 and graduated in 1990) at the LSE. Academic career He was a lecturer in statistics at the LSE from 1988 to 1993. He moved to Nuffield College, Oxford in 1991 to join the economics group as the Gatsby Prize Research Fellow in Econometrics (funded by the Gatsby Foundation). In 1993 he became an Official Fellow in Economics at Nuffield College, Oxford. He has been Professor of Economics and of Statistics at Harvard University since 2013. He was elected a Fellow of the British Academy in 2006, a Fellow of the Econometric Society in 2004. He was awarded an honorary doctorate in economics 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. With David F. Hendry he founded the Econometrics Journal in 1998. With Colin Mayer he founded Oxford University's Masters in Financial Economics. In 2007 he co-founded the Oxford-Man Institute, which he directed from 2007 to 2011. He chaired the Statistics Department at Harvard from 2015 to 2022. With Computer Science and Statistical colleagues, he founded Harvard University's Masters in Data Science