Neil Shephard
Scholar

Neil Shephard

Google Scholar ID: e2Xowj0AAAAJ
Frank B. Baird Jr, Professor of Science, Dept of Economics & Dept of Statistics, Harvard University
Econometricseconomicsstatisticsfinancial econometricsfinance
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Citations & Impact
All-time
Citations
46,540
 
H-index
72
 
i10-index
145
 
Publications
20
 
Co-authors
19
list available
Publications
3 items
Filtering without recursion and some of its uses in financial economics
2026
Cited
0
When are time series predictions causal? The potential system and dynamic causal effects
2026
Cited
0
Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing
2025
Cited
0
Co-authors
8 total
Siddhartha Chib
Siddhartha Chib
Harry C Hartkopf Professor of Econometrics and Statistics
Siem Jan Koopman
Siem Jan Koopman
Professor of Econometrics, Vrije Universiteit Amsterdam
ESTHER RUIZ ORTEGA
ESTHER RUIZ ORTEGA
Universidad Carlos III de Madrid
Anders Rahbek
Anders Rahbek
Professor, University of Copenhagen
Cavit Pakel
Cavit Pakel
Senior Fellow, University of Oxford
Almut Veraart
Almut Veraart
Imperial College London
Per Mykland
Per Mykland
Robert M. Hutchins Professor of Statistics and Finance, The University of Chicago
Arnaud Doucet
Arnaud Doucet
Google DeepMind