Neil Shephard
1991–2025 年に発表
- 47
- 論文数
- 21,760
- 被引用数
- 43
- h 指数
- 47
- i10 指数
被引用数
引用元
国・地域
機関
分野
- Computer Science33.3%
- Economics, Econometrics and Finance29.8%
- Medicine9.9%
- Engineering7.9%
- Mathematics6.8%
- Biochemistry, Genetics and Molecular Biology3.3%
- その他9%
トピック
- 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%
- その他66.6%
共著者
- Ole E. Barndorff–Nielsen12
- Andrew Harvey5
- Asger Lunde5
- Siddhartha Chib5
- Peter Reinhard Hansen4
- Kevin Sheppard3
- Siem Jan Koopman3
- Abualbishr Alshreef2
- Alan J. Silman2
- Allan Wailoo2
- Angus Watson2
- Anne Barton2
- Anne Hinks2
- Daniel Hind2
- Federico Nardari2
- Giulia C. Kennedy2
- Jane Worthington2
- Jurgen A. Doornik2
- Katie Biggs2
- M. Pitt2
- Mike Bradburn2
- Sally John2
- Steve Eyre2
- Steven R. Brown2
全論文
- Filtering via Simulation: Auxiliary Particle Filters
著者: M. Pitt, Neil Shephard - Journal of the American Statistical Association 1999 被引用: 2,265
- Sample size requirements to estimate key design parameters from external pilot randomised controlled trials: a simulation study
著者: M. Dawn Teare, Munyaradzi Dimairo, Neil Shephard, Alex Hayman, Amy Whitehead, Stephen J. Walters - Trials 2014 被引用: 827
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
著者: Ole E. Barndorff–Nielsen, Neil Shephard - Journal of the Royal Statistical Society Series B (Statistical Methodology) 2002 被引用: 2,314
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
著者: Ole E. Barndorff–Nielsen, Neil Shephard - Journal of the Royal Statistical Society Series B (Statistical Methodology) 2001 被引用: 1,890
- From Characteristic Function to Distribution Function: A Simple Framework for the Theory
著者: Neil Shephard - Econometric Theory 1991 被引用: 185
- Multivariate Stochastic Variance Models
著者: Andrew Harvey, Esther Ruiz, Neil Shephard - The Review of Economic Studies 1994 被引用: 1,401
- 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
著者: Steven R. Brown, J. P. Tiernan, Angus Watson, Katie Biggs, Neil Shephard, Allan Wailoo, Mike Bradburn, Abualbishr Alshreef, Daniel Hind - The Lancet 2016 被引用: 211
- 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
著者: 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 被引用: 77
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
著者: Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard - Econometrica 2008 被引用: 1,284
- Estimating quadratic variation using realized variance
著者: Ole E. Barndorff–Nielsen, Neil Shephard - Journal of Applied Econometrics 2002 被引用: 648
- Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
著者: Neil Shephard, Kevin Sheppard - Journal of Applied Econometrics 2010 被引用: 451
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
著者: Ole E. Barndorff–Nielsen, Neil Shephard - Econometrica 2004 被引用: 948
- Realized kernels in practice: trades and quotes
著者: Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard - Econometrics Journal 2009 被引用: 673
- Stochastic volatility with leverage: Fast and efficient likelihood inference
著者: Yasuhiro Omori, Siddhartha Chib, Neil Shephard, Jouchi Nakajima - Journal of Econometrics 2006 被引用: 473
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
著者: Ola Elerian, Siddhartha Chib, Neil Shephard - Econometrica 2001 被引用: 469
- Analysis of high dimensional multivariate stochastic volatility models
著者: Siddhartha Chib, Federico Nardari, Neil Shephard - Journal of Econometrics 2005 被引用: 346
- Genetic Analyses in a Sample of Individuals With High or Low BMD Shows Association With Multiple Wnt Pathway Genes
著者: 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 被引用: 154
- Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
著者: Andrew Harvey, Neil Shephard - Journal of Business and Economic Statistics 1996 被引用: 454
- Realized power variation and stochastic volatility models
著者: Ole E. Barndorff–Nielsen, Neil Shephard - Bernoulli 2003 被引用: 254
- Multivariate high‐frequency‐based volatility (HEAVY) models
著者: Diaa Noureldin, Neil Shephard, Kevin Sheppard - Journal of Applied Econometrics 2011 被引用: 243
- Measuring Downside Risk – Realized Semivariance*
著者: Ole E. Barndorff‐Nielsen, Silja Kinnebrock, Neil Shephard - Oxford University Press eBooks 2010 被引用: 213
- Fitting Vast Dimensional Time-Varying Covariance Models
著者: Cavit Pakel, Neil Shephard, Kevin Sheppard, Robert Engle - Journal of Business and Economic Statistics 2020 被引用: 153
- Association Between Osteopontin and Human Abdominal Aortic Aneurysm
著者: 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 被引用: 136
- Auxiliary Variable Based Particle Filters
著者: Michael K. Pitt, Neil Shephard - Sequential Monte Carlo Methods in Practice 1999 被引用: 76