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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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Integrated OU Processes and non-Gaussian OU-based stochastic volatility models
TL;DR: In this paper, the detailed distributional properties of integrated non-Gaussian OU (intOU) processes are studied, and the tail behavior of the intOU process is analyzed.
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Econometrics of valuing income contingent student loans using administrative data: groups of English students
TL;DR: In this article, the authors use English Student Loan Company records with information on borrowing, course, and institution linked to tax records that give earnings for up to 11 years after graduation.
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
Thomas Flury,Neil Shephard +1 more
TL;DR: In this paper, it was shown that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm, which is perhaps surprising given the celebrated results on maximum simulated likelihood estimation.