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Neil Shephard

Active 1991–2025

47
Papers
21,760
Citations
43
h-index
47
i10-index

Citations

Citations per year for Neil Shephard1972: 1 citations1993: 1 citations1994: 8 citations1995: 3 citations1996: 28 citations1997: 25 citations1998: 37 citations1999: 30 citations2000: 51 citations2001: 67 citations2002: 102 citations2003: 88 citations2004: 137 citations2005: 177 citations2006: 196 citations2007: 141 citations2008: 201 citations2009: 189 citations2010: 211 citations2011: 190 citations2012: 142 citations2013: 159 citations2014: 125 citations2015: 160 citations2016: 117 citations2017: 85 citations2018: 88 citations2019: 166 citations2020: 159 citations2021: 184 citations2022: 107 citations2023: 96 citations2024: 108 citations2025: 60 citations2026: 21 citations1973–1992: no citations, so these years are not shown

Citation sources

Countries

World map of the countries and regions citing this authorUnited States: 811 citing papers, 21% of this breakdownUnited Kingdom: 576 citing papers, 14.9% of this breakdownChina: 305 citing papers, 7.9% of this breakdownFrance: 215 citing papers, 5.6% of this breakdownAustralia: 187 citing papers, 4.8% of this breakdownCanada: 160 citing papers, 4.1% of this breakdownGermany: 148 citing papers, 3.8% of this breakdownItaly: 124 citing papers, 3.2% of this breakdownSweden: 104 citing papers, 2.7% of this breakdownNetherlands: 100 citing papers, 2.6% of this breakdownJapan: 99 citing papers, 2.6% of this breakdownSpain: 96 citing papers, 2.5% of this breakdown
0%21%Other 24.3%

Institutions

Fields

  • Computer Science33.3%
  • Economics, Econometrics and Finance29.8%
  • Medicine9.9%
  • Engineering7.9%
  • Mathematics6.8%
  • Biochemistry, Genetics and Molecular Biology3.3%
  • Other9%

Topics

  • Financial Risk and Volatility Modeling8.9%
  • Target Tracking and Data Fusion in Sensor Networks8.5%
  • Stochastic processes and financial applications4.9%
  • Bayesian Methods and Mixture Models4.2%
  • Complex Systems and Time Series Analysis3.5%
  • Market Dynamics and Volatility3.4%
  • Other66.6%

Coauthors

All papers

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  1. Filtering via Simulation: Auxiliary Particle Filters

    Authors: M. Pitt, Neil Shephard - Journal of the American Statistical Association 1999 cited by 2,265

  2. Sample size requirements to estimate key design parameters from external pilot randomised controlled trials: a simulation study

    Authors: M. Dawn Teare, Munyaradzi Dimairo, Neil Shephard, Alex Hayman, Amy Whitehead, Stephen J. Walters - Trials 2014 cited by 827

  3. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

    Authors: Ole E. Barndorff–Nielsen, Neil Shephard - Journal of the Royal Statistical Society Series B (Statistical Methodology) 2002 cited by 2,314

  4. Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

    Authors: Ole E. Barndorff–Nielsen, Neil Shephard - Journal of the Royal Statistical Society Series B (Statistical Methodology) 2001 cited by 1,890

  5. From Characteristic Function to Distribution Function: A Simple Framework for the Theory

    Authors: Neil Shephard - Econometric Theory 1991 cited by 185

  6. Multivariate Stochastic Variance Models

    Authors: Andrew Harvey, Esther Ruiz, Neil Shephard - The Review of Economic Studies 1994 cited by 1,401

  7. Haemorrhoidal artery ligation versus rubber band ligation for the management of symptomatic second-degree and third-degree haemorrhoids (HubBLe): a multicentre, open-label, randomised controlled trial

    Authors: Steven R. Brown, J. P. Tiernan, Angus Watson, Katie Biggs, Neil Shephard, Allan Wailoo, Mike Bradburn, Abualbishr Alshreef, Daniel Hind - The Lancet 2016 cited by 211

  8. The DiPEP study: an observational study of the diagnostic accuracy of clinical assessment, D‐dimer and chest x‐ray for suspected pulmonary embolism in pregnancy and postpartum

    Authors: Steve Goodacre, Kim Horspool, Catherine Nelson‐Piercy, Marian Knight, Neil Shephard, Fiona Lecky, Steven Thomas, BJ Hunt, Gordon Fuller - BJOG An International Journal of Obstetrics & Gynaecology 2018 cited by 77

  9. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

    Authors: Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard - Econometrica 2008 cited by 1,284

  10. Estimating quadratic variation using realized variance

    Authors: Ole E. Barndorff–Nielsen, Neil Shephard - Journal of Applied Econometrics 2002 cited by 648

  11. Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models

    Authors: Neil Shephard, Kevin Sheppard - Journal of Applied Econometrics 2010 cited by 451

  12. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

    Authors: Ole E. Barndorff–Nielsen, Neil Shephard - Econometrica 2004 cited by 948

  13. Realized kernels in practice: trades and quotes

    Authors: Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard - Econometrics Journal 2009 cited by 673

  14. Stochastic volatility with leverage: Fast and efficient likelihood inference

    Authors: Yasuhiro Omori, Siddhartha Chib, Neil Shephard, Jouchi Nakajima - Journal of Econometrics 2006 cited by 473

  15. Likelihood Inference for Discretely Observed Nonlinear Diffusions

    Authors: Ola Elerian, Siddhartha Chib, Neil Shephard - Econometrica 2001 cited by 469

  16. Analysis of high dimensional multivariate stochastic volatility models

    Authors: Siddhartha Chib, Federico Nardari, Neil Shephard - Journal of Econometrics 2005 cited by 346

  17. Genetic Analyses in a Sample of Individuals With High or Low BMD Shows Association With Multiple Wnt Pathway Genes

    Authors: Anne-Marie Sims, Neil Shephard, Kim W. Carter, Tracy Doan, Alison Dowling, Emma L. Duncan, John A. Eisman, Graeme Jones, Geoffrey C. Nicholson, Richard L. Prince, Ego Seeman, Gethin Thomas, John Wass, Matthew A. Brown - Journal of Bone and Mineral Research 2007 cited by 154

  18. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

    Authors: Andrew Harvey, Neil Shephard - Journal of Business and Economic Statistics 1996 cited by 454

  19. Realized power variation and stochastic volatility models

    Authors: Ole E. Barndorff–Nielsen, Neil Shephard - Bernoulli 2003 cited by 254

  20. Multivariate high‐frequency‐based volatility (HEAVY) models

    Authors: Diaa Noureldin, Neil Shephard, Kevin Sheppard - Journal of Applied Econometrics 2011 cited by 243

  21. Measuring Downside Risk – Realized Semivariance*

    Authors: Ole E. Barndorff‐Nielsen, Silja Kinnebrock, Neil Shephard - Oxford University Press eBooks 2010 cited by 213

  22. Fitting Vast Dimensional Time-Varying Covariance Models

    Authors: Cavit Pakel, Neil Shephard, Kevin Sheppard, Robert Engle - Journal of Business and Economic Statistics 2020 cited by 153

  23. Association Between Osteopontin and Human Abdominal Aortic Aneurysm

    Authors: Jonathan Golledge, Juanita Muller, Neil Shephard, Paula Clancy, Linda Smallwood, Corey S. Moran, Anthony E. Dear, Lyle J. Palmer, Paul E. Norman - Arteriosclerosis Thrombosis and Vascular Biology 2006 cited by 136

  24. Auxiliary Variable Based Particle Filters

    Authors: Michael K. Pitt, Neil Shephard - Sequential Monte Carlo Methods in Practice 1999 cited by 76