Neil Shephard

Neil Shephard is the Frank B. Baird, Jr. Professor of Science in the Department of Economics and Department of Statistics at Harvard University. His research interests include econometrics, finance, and statistics, with a focus on financial econometrics. He has developed simulation-based inference methods for online learning and contributed to the use of high-frequency financial data in economics. He joined Harvard in 2013, holding a joint professorship between Economics and Statistics. He is a fellow of the Econometric Society and the British Academy and an associated editor of Econometrica. Previously, he was a faculty member at the London School of Economics and Oxford University.

Neil Shephard is a professor of science at Harvard University, specializing in econometrics, economics, statistics, financial econometrics, and finance. His research focuses on the econometric analysis of financial time series, particularly in the areas of stochastic volatility, realized volatility, and high-frequency data. He has developed methodologies for estimating quadratic variation, analyzing realized kernels, and modeling financial econometrics using non-Gaussian processes. His work includes likelihood inference for stochastic volatility models, simulation techniques for time series analysis, and the econometric evaluation of jumps in financial markets. Shephard's contributions have significantly advanced the understanding of financial econometrics and statistical modeling in economics.