Neil Shephard
Professor of Economics and of Statistics at Harvard University
Schools
- Harvard University
Links
Biography
Harvard University
Neil Shephard’s broad research interests are in econometrics, finance and statistics, with a particular focus on financial econometrics. He has made significant advances in developing simulation based inference methods for online learning and has contributed methods to allow the mainstream use of high frequency financial data in economics.
He joined the Harvard faculty in 2013 as Professor of Economics and of Statistics, holding the position equally between the Economics Department and the Statistics Departments. He was chair of the Harvard University's Department of Statistics from 2015 to 2022. In 2018 he became the Frank B. Baird, Jr. Professor of Science, still working in the Economics and Statistics Departments.
Professor Shephard is a fellow of the Econometric Society, the British Academy, the Society for Financial Econometrics and the International Association for Applied Econometrics. Professor Shephard was a faculty member at the London School of Economics from 1988-1993 and Nuffield College, Oxford from 1991 to 2013. He received his Ph.D. from the LSE in 1990.
Education
- Ph.D., London School of Economics, 1990.
- M.Sc., London School of Economics, 1987, Statistics (awarded with distinction).
- B.A., York University, 1986, Economics and Statistics (first class, awarded with distinction).
Honours and prizes from universities and learned societies
- Fellow of International Association for Applied Econometrics (elected) 2017
- Guy Medal in Silver, Royal Statistical Society 2017
- Fellow of the Society for Financial Econometrics (elected) 2012
- Honorary doctorate, Aarhus University 2009
- Fellow of the British Academy (FBA) (elected) 2006
- Fellow of the Econometric Society (elected) 2004
- Adam Smith Prize for undergraduate performance in economics, York University 1986
Books
- Unobserved Components and Time Series Econometrics, edited volume, Oxford University Press, (with Siem Jan Koopman), 2015.
- The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry, edited volume, Oxford University Press, 2009 (with Jennifer L. Castle).
- Stochastic Volatility: Selected Readings, edited volume, Oxford University Press, 2005.
- State Space and Unobserved Component Models: Theory and Applications, edited volume, Cambridge University Press, 2004 (with Andrew C. Harvey and Siem Jan Koopman).
Videos
SoFiE Seminar with Neil Shephard and Jean-Pierre Florens - June 29, 2020
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