Standout Papers

Econometric Analysis of Realized Volatility and its Use in Estimating ... 1994 2026 2004 2015 1.4k
  1. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)
    Ole E. Barndorff–Nielsen, Neil Shephard Journal of the Royal Statistical Society Series B (Statistical Methodology)
  2. Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)
    Ole E. Barndorff–Nielsen, Neil Shephard Journal of the Royal Statistical Society Series B (Statistical Methodology)
  3. Filtering via Simulation: Auxiliary Particle Filters (1999)
    M. Pitt, Neil Shephard Journal of the American Statistical Association
  4. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
    Ole E. Barndorff–Nielsen, Peter Reinhard Hansen et al. Econometrica
  5. Multivariate Stochastic Variance Models (1994)
    Andrew Harvey, Esther Ruiz et al. The Review of Economic Studies
  6. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
    Ole E. Barndorff–Nielsen, Neil Shephard Econometrica
  7. Realized kernels in practice: trades and quotes (2009)
    Ole E. Barndorff–Nielsen, Peter Reinhard Hansen et al. Econometrics Journal

Immediate Impact

7 by Nobel laureates 17 from Science/Nature 132 standout
Sub-graph 1 of 17

Citing Papers

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2 intermediate papers

Works of Neil Shephard being referenced

The Methodology and Practice of Econometrics
2009
Testing the assumptions behind importance sampling
2008

Author Peers

Author Last Decade Papers Cites
Neil Shephard 9460 6750 3100 116 13.1k
A. Ronald Gallant 5478 5488 2982 139 11.3k
Ole E. Barndorff–Nielsen 11387 7102 2169 243 17.9k
Ruey S. Tsay 3913 4553 2708 160 9.0k
Thomas Mikosch 4975 2726 902 138 8.4k
Jushan Bai 4641 10035 6848 88 14.2k
Siem Jan Koopman 3830 3791 2179 233 7.0k
Helmut Lütkepohl 3035 7345 5265 150 12.2k
Peter J. Brockwell 3770 3030 1098 131 13.2k
Jörg Breitung 3542 6654 4461 74 10.1k
Harry Joe 3705 2230 732 153 9.7k

All Works

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2026