N
Neil Shephard
Researcher at Harvard University
Publications - 219
Citations - 32524
Neil Shephard is an academic researcher from Harvard University. The author has contributed to research in topics: Stochastic volatility & Volatility (finance). The author has an hindex of 68, co-authored 219 publications receiving 30586 citations. Previous affiliations of Neil Shephard include University of Oxford & London School of Economics and Political Science.
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Parallel computation in econometrics: a simplified approach
TL;DR: This work takes a popular matrix programming language (Ox), and implements a message-passing interface using MPI, and addresses the issue of parallel random number generation.
Posted Content
Likelihood Analysis of Non-Gaussian Parameter-Driven Models
Neil Shephard,Michael K. Pitt +1 more
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Learning and filtering via simulation: smoothly jittered particle filters.
Thomas Flury,Neil Shephard +1 more
TL;DR: It is shown how jittering can be designed to improve the performance of the SIR algorithm, and its performance in practice in the context of three filtering problems is illustrated.
Journal ArticleDOI
Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading
Iavor Bojinov,Neil Shephard +1 more
TL;DR: In this article, the authors define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data, and test their methodology on simulated "potential autoregressions", which have a causal interpretation.
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Numerical integration rules for multivariate inversions
TL;DR: In this article, integration rules for the computation of the multivariate distribution function are derived from a known characteristic function, and procedures for automatic selection of step sizes are one particular strength of the proposed method.