Search Results - person:"Shephard, Neil"

Panel experiments and dynamic causal effects : a finite population perspective

Bojinov, Iavor; Rambachan, Ashesh; Shephard, Neil G. - 2021

In panel experiments, we randomly assign units to different interventions, measuring their outcomes, and repeating the procedure in several periods. Using the potential outcomes framework, we define finite population dynamic causal effects that capture the relative effectiveness of alternative...

Persistent link: https://www.econbiz.de/10012795665

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Panel experiments and dynamic causal effects : a finite population perspective

Bojinov, Iavor; Rambachan, Ashesh; Shephard, Neil G. - 2020

Book / Working Paper

Exponentially weighted estimands and the exponential family : filtering, prediction and smoothing

Donker van Heel, Simon; Shephard, Neil G. - 2025 - Revision: January 2026

We propose using a discounted version of a convex combination of the log-likelihood with the corresponding expected log-likelihood such that when they are maximized they yield a filter, predictor and smoother for time series. This paper then focuses on working out the implications of this in the...

Persistent link: https://www.econbiz.de/10015559499

Exponentially weighted estimands and the exponential family: Filtering, prediction and smoothing

Donker van Heel, Simon; Shephard, Neil G. - 2026

Persistent link: https://www.econbiz.de/10015619434

Inference and forecasting for continuous-time integer-valued trawl processes

Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - 2023

Persistent link: https://www.econbiz.de/10014365470

Fitting vast dimensional time-varying covariance models

Pakel, Cavit; Shephard, Neil G.; Sheppard, Kevin; … - 2021

Persistent link: https://www.econbiz.de/10012588005

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Fitting Vast Dimensional Time-Varying Covariance Models

Pakel, Cavit - 2019

Book / Working Paper

Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics

Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - 2021

Persistent link: https://www.econbiz.de/10012621491

Multivariate rotated ARCH models

Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2014

Persistent link: https://www.econbiz.de/10010258286

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Multivariate rotated ARCH models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - 2014

Article

Multivariate rotated ARCH models

Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2012

Book / Working Paper

Multivariate rotated ARCH models

Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2012

Book / Working Paper

Multivariate Rotated ARCH models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - 2012

Book / Working Paper

Multivariate Rotated ARCH Models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - 2012

Book / Working Paper

Econometrics of valuing income contingent student loans using administrative data : groups of English students

Britton, Jack; Shephard, Neil G.; Erve, Laura van der - 2019

Income contingent loans are an increasingly popular tool for funding higher education. These loans have desirable features, but also potentially high overall government write-offs in the long run. This latter fact has been well documented, but little is known about how those write-offs vary by...

Persistent link: https://www.econbiz.de/10011991492