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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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Submission to the review on “Higher Education Funding and Student Finance”
TL;DR: The economic basis of the current system: education creates positive externalities so education should be supported by the state; education creates private benefit so graduates should contribute towards the cost of their tuition; returns to education are highly uncertain so someone (e.g. the state) should provide insurance (income contingency) in case the graduate's earnings turn out to be modest; makes sense as mentioned in this paper.
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Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
Michael K. Pitt,Neil Shephard +1 more
TL;DR: In this article, a closed form expression for the convergence rate of the Gibbs sampler applied to an AR(1) plus noise model in terms of the parameters of the model was obtained.
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Nonparametric hierarchical Bayesian quantiles
TL;DR: A method for performing nonparametric Bayesian inference on quantiles using geometric measure theory and a Hausdorff base measure is developed, able to specify meaningful priors for the quantile while treating the distribution of the data otherwise nonparametrically.
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Multivariate High-Frequency-Based Volatility (HEAVY) Models
TL;DR: In this article, a new class of multivariate volatility models that utilize high-frequency data is introduced, and the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being particularly significant at short forecast horizons.